Tools for computational finance.

zbMath1042.91049MaRDI QIDQ5907005

Rüdiger U. Seydel

Publication date: 23 September 2003

Published in: Universitext (Search for Journal in Brave)

zbMATH Keywords

option pricingupwind schemesMonte Carlo simulationstochastic calculusfinite-difference methodsAsian optionhigh-resolution methodsBlack-Scholes equationexotic optionsfinite-element methodsfree boundary-value problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Finite difference methods for boundary value problems involving PDEs (65N06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

Related Items (17)

A combined compact difference scheme for option pricing in the exponential jump-diffusion models ⋮ Calibration to American options: numerical investigation of the de-Americanization method ⋮ Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ High-order exponential spline method for pricing European options ⋮ Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform ⋮ Numerical Methods for Non-Linear Black–Scholes Equations ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ Pricing American options using a space-time adaptive finite difference method ⋮ Augmented Lagrangian method applied to American option pricing ⋮ High-Order Compact Finite Difference Method for Black–Scholes PDE ⋮ On the numerical solution of nonlinear Black-Scholes equations ⋮ A second-order Nyström-type discretization for the early-exercise curve of American put options ⋮ A highly accurate adaptive finite difference solver for the Black–Scholes equation

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