Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function

DOI10.1016/J.CNSNS.2024.108291zbMATH Open1548.91126MaRDI QIDQ6604201FDOQ6604201

Authors: Rock Stephane Koffi, Antoine Tambue 

Publication date: 12 September 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

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zbMATH Keywords

PDEoption pricingfinite volume methodlocal volatilitytwo-point flux approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Cites Work

• BENCHOP -- the benchmarking project in option pricing
• The pricing of options and corporate liabilities
• Finite volume methods
• Option pricing: A simplified approach
• Finite element method for hemivariational inequalities. Theory, methods and applications
• Power penalty method for a linear complementarity problem arising from American option valuation
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• An exponential integrator for finite volume discretization of a reaction-advection-diffusion equation

Cited In (1)

• Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities

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