On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
DOI10.1016/J.CAM.2006.04.034zbMATH Open1137.91477OpenAlexW2005765807MaRDI QIDQ879424FDOQ879424
Authors: B. A. Wade, R. Deininger, A. Q. M. Khaliq, M. Yousuf, Jesús Vigo-Aguiar 
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
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Cited In (27)
- The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Approximation of single-barrier options partial differential equations using feed-forward neural network
- 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
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- Title not available (Why is that?)
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- Efficient and fast numerical method for pricing discrete double barrier option by projection method
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
- Option pricing and Greeks via a moving least square meshfree method
- On the class of high order time stepping schemes based on Padé approximations for the numerical solution of Burgers' equation
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
- A positivity-preserving numerical scheme for nonlinear option pricing models
- Asymptotics and discretization of a weakly singular kernel: application to viscous flows in a network of thin tubes
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid
- Numerical valuation of discrete double barrier options
- An ETD Crank-Nicolson method for reaction-diffusion systems
- An efficient computational algorithm for pricing European, barrier and American options
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- Exponentially fitted TDRK pairs for the Schrödinger equation
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