On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

DOI10.1016/j.cam.2006.04.034zbMath1137.91477OpenAlexW2005765807MaRDI QIDQ879424

R. Deininger, Bruce A. Wade, Muhammad Irfan Yousuf, Jesus Vigo Aguiar, Abdul Q. M. Khaliq

Publication date: 11 May 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.04.034

zbMATH Keywords

smoothingCrank-Nicolson schemebarrier optionsBlack-Scholes PDEPadé schemes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Complexity and performance of numerical algorithms (65Y20)

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Cites Work

• Semigroups of linear operators and applications to partial differential equations
• A parallel block cyclic reduction algorithm for the fast solution of elliptic equations
• Nonsmooth data error estimates for damped single step methods for parabolic equations in Banach space
• PDE methods for pricing barrier options
• Incomplete partial fractions for parallel evaluation of rational matrix functions
• On the smoothing property of the crank-nicolson scheme
• Kombinationswirbelfelder in realen Strömungen
• On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
• An explicit finite difference approach to the pricing of barrier options
• Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
• High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
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