TVD, WENO and blended BDF discretizations for Asian options

DOI10.1007/S00791-003-0117-9MaRDI QIDQ706545zbMATH OpenOpenAlexFDO

Authors J. C. Frisch, Cornelis W. Oosterlee, Francisco José Gaspar

Publication date 8 February 2005

Published in Computing and Visualization in Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00791-003-0117-9

zbMATH Keywords

partial differential equationsBlack-Scholes equationdiscretization schemes

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3932654 (Why is no real title available?)
• scientific article; zbMATH DE number 1536584 (Why is no real title available?)
• scientific article; zbMATH DE number 940566 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• Efficient implementation of weighted ENO schemes
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Multigrid for American option pricing with stochastic volatility
• Numerical initial value problems in ordinary differential equations.
• On the Valuation of Asian Options by Variational Methods
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Partially implicit BDF2 blends for convection-dominated flows
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• Uniformly high order accurate essentially non-oscillatory schemes. III

Cited in

(9)

• WENO and blended BDF discretizations for option pricing problems
• A highly parallel Black--Scholes solver based on adaptive sparse grids
• Conservative third-order central-upwind schemes for option pricing problems
• The pricing of Asian options in uncertain volatility model
• High accurate modified WENO method for the solution of Black-Scholes equation
• scientific article; zbMATH DE number 1748282 (Why is no real title available?)
• Numerical option pricing without oscillations using flux limiters
• A Numerical Approach to Price Path Dependent Asian Options
• A meshless method for Asian style options pricing under the Merton jump-diffusion model

Describes a project that uses

Uses Software

• RODAS

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