Exponential Rosenbrock integrators for option pricing
DOI10.1016/J.CAM.2009.06.015zbMATH Open1187.91226OpenAlexW2005915565MaRDI QIDQ970405FDOQ970405
Publication date: 17 May 2010
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.2009.06.015
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Quadratic convergence for valuing American options using a penalty method
- A class of explicit exponential general linear methods
- Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
- Implementation of exponential Rosenbrock-type integrators
- Exponential Rosenbrock-Type Methods
- Penalty methods for American options with stochastic volatility
- A class of explicit multistep exponential integrators for semilinear problems
- Title not available (Why is that?)
- Exponential Runge-Kutta methods for parabolic problems.
- Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems
- Sharp \(L^{\infty}\)-error estimates for semilinear elliptic problems with free boundaries
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
Cited In (9)
- Title not available (Why is that?)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- A note on exponential Rosenbrock-Euler method for the finite element discretization of a semilinear parabolic partial differential equation
- Efficient exponential Rosenbrock methods till order four
- Exponential Rosenbrock Methods and Their Application in Visual Computing
- A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds
- Exponential Additive Runge-Kutta Methods for Semi-Linear Differential Equations
- Direct computation for American put option and free boundary using finite difference method
- Efficient exponential time integration for simulating nonlinear coupled oscillators
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