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.2024.108291MaRDI QIDQ6604201zbMATH OpenFDO

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)

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)

Recommendations

• Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
• On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities

Cites work

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

Cited in

(1)

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

This page was built for publication: Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6604201)