Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

The pricing of options and corporate liabilities
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Variational inequalities and the pricing of American options
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Quadratic convergence for valuing American options using a penalty method
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Penalty methods for American options with stochastic volatility
Power penalty method for a linear complementarity problem arising from American option valuation
CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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Three-dimensional exponentially fitted conforming tetrahedral finite elements for the semiconductor continuity equations
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An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
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Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
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B‐Spline‐Based Monotone Multigrid Methods
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Error estimates for the finite-element solution of an elliptic singularly perturbed problem

Cited In (47)

American option pricing problem transformed on finite interval
Numerical solution for a parabolic obstacle problem with nonsmooth initial data
A power penalty approach to a mixed quasilinear elliptic complementarity problem
An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
A super-convergent unsymmetric finite volume method for convection-diffusion equations
Penalty method for indifference pricing of American option in a liquidity switching market
An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
Numerical approximation of a time-fractional Black-Scholes equation
Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
Option pricing using a computational method based on reproducing kernel
High-order exponential spline method for pricing European options
Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function
A fitted finite volume method for stochastic optimal control problems in finance
Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation
A fixed-point method for a class of super-large scale nonlinear complementarity problems
Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
A power penalty method for solving a nonlinear parabolic complementarity problem
Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
Pricing options under jump diffusion processes with fitted finite volume method
An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
A finite difference method for pricing European and American options under a geometric Lévy process
Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
A computational scheme for uncertain volatility model in option pricing
On power penalty methods for linear complementarity problems arising from American option pricing
Modelling and Computation for the Valuation of Two-Period $R\&D$ Projects by Option Games
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Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
Accurate numerical method for pricing two-asset American put options
A numerical method for pricing European options with proportional transaction costs
A penalty method for a finite-dimensional obstacle problem with derivative constraints
A robust and accurate finite difference method for a generalized Black-Scholes equation
Finite difference scheme with a moving mesh for pricing Asian options
Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
A novel fitted finite volume method for the Black-Scholes equation governing option pricing
A robust finite difference scheme for pricing American put options with singularity-separating method
A modification of Galerkin's method for option pricing
Optimal convergence rate of the explicit finite difference scheme for American option valuation
A HODIE finite difference scheme for pricing American options
A finite difference scheme for pricing American put options under Kou's jump-diffusion model
A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
Cubic spline method for a generalized Black-Scholes equation

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