On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
From MaRDI portal
Publication:879424
DOI10.1016/J.CAM.2006.04.034zbMATH Open1137.91477OpenAlexW2005765807MaRDI QIDQ879424FDOQ879424
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)
Recommendations
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- A numerical method for option pricing under jump-diffusion process
- An explicit finite difference approach to the pricing of barrier options
- PDE methods for pricing barrier options
Cites work
- 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?)
- 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
- 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
(27)- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- Asymptotics and discretization of a weakly singular kernel: application to viscous flows in a network of thin tubes
- 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
- Approximation of single-barrier options partial differential equations using feed-forward neural network
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- Pricing discretely-monitored double barrier options with small probabilities of execution
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- An efficient computational algorithm for pricing European, barrier and American options
- Numerical valuation of discrete double barrier options
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- An ETD Crank-Nicolson method for reaction-diffusion systems
- Option pricing and Greeks via a moving least square meshfree method
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Efficient and fast numerical method for pricing discrete double barrier option by projection method
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- Exponentially fitted TDRK pairs for the Schrödinger equation
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials
- A positivity-preserving numerical scheme for nonlinear option pricing models
This page was built for publication: On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879424)
