A highly accurate adaptive finite difference solver for the Black–Scholes equation

DOI10.1080/00207160802140023zbMath1182.91202OpenAlexW2002077821MaRDI QIDQ5850760

Gunilla Linde, Lina von Sydow, Jonas Persson

Publication date: 15 January 2010

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802140023

zbMATH Keywords

finite difference methodoption pricingadaptive methodaccuratehigh-order approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Finite difference methods for boundary value problems involving PDEs (65N06)

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Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Option pricing with a direct adaptive sparse grid approach ⋮ A high order method for pricing of financial derivatives using radial basis function generated finite differences ⋮ Radial basis function generated finite differences for option pricing problems ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Adaptive time-stepping schemes for the solution of the Poisson-Nernst-Planck equations ⋮ A multigrid preconditioner for an adaptive Black-Scholes solver ⋮ Pricing American options using a space-time adaptive finite difference method ⋮ Chebyshev reduced basis function applied to option valuation

Cites Work

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• GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
• Multigrid for American option pricing with stochastic volatility
• Tools for computational finance.