On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
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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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A parallel block cyclic reduction algorithm for the fast solution of elliptic equations
- An explicit finite difference approach to the pricing of barrier options
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- scientific article; zbMATH DE number 52120 (Why is no real title available?)
- scientific article; zbMATH DE number 194194 (Why is no real title available?)
- scientific article; zbMATH DE number 1077323 (Why is no real title available?)
- scientific article; zbMATH DE number 1844147 (Why is no real title available?)
- Incomplete partial fractions for parallel evaluation of rational matrix functions
- Kombinationswirbelfelder in realen Strömungen
- Nonsmooth data error estimates for damped single step methods for parabolic equations in Banach space
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- On the smoothing property of the crank-nicolson scheme
- Operator theory and numerical methods
- PDE methods for pricing barrier options
- Semigroups of linear operators and applications to partial differential equations
- Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
Cited in
(29)- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid
- A positivity-preserving numerical scheme for nonlinear option pricing models
- An efficient computational algorithm for pricing European, barrier and American options
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials
- On the class of high order time stepping schemes based on Padé approximations for the numerical solution of Burgers' equation
- Efficient and fast numerical method for pricing discrete double barrier option by projection method
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- An ETD Crank-Nicolson method for reaction-diffusion systems
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- Exponentially fitted TDRK pairs for the Schrödinger equation
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- Option pricing and Greeks via a moving least square meshfree method
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- Asymptotics and discretization of a weakly singular kernel: application to viscous flows in a network of thin tubes
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- Approximation of single-barrier options partial differential equations using feed-forward neural network
- Gamma hedging and rough paths
- A fourth-order exponential time differencing scheme with dimensional splitting for non-linear reaction-diffusion systems
- Numerical valuation of discrete double barrier options
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
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