Exponential Rosenbrock integrators for option pricing

DOI10.1016/J.CAM.2009.06.015zbMATH Open1187.91226OpenAlexW2005915565MaRDI QIDQ970405FDOQ970405

Authors Muhammad Asif Gondal 

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

zbMATH Keywords

American optionsexponential integratorsexponential Rosenbrock methods

Mathematics Subject Classification ID

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)

Recommendations

• Exponential Rosenbrock-Type Methods
• Exponential time integration for fast finite element solutions of some financial engineering problems
• Rational Krylov methods in exponential integrators for European option pricing.
• Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
• Implementation of exponential Rosenbrock-type integrators

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• A class of explicit exponential general linear methods
• A class of explicit multistep exponential integrators for semilinear problems
• Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
• Exponential Rosenbrock-Type Methods
• Exponential Runge-Kutta methods for parabolic problems.
• Implementation of exponential Rosenbrock-type integrators
• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
• Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems
• Penalty methods for American options with stochastic volatility
• Quadratic convergence for valuing American options using a penalty method
• Sharp \(L^{\infty}\)-error estimates for semilinear elliptic problems with free boundaries
• The pricing of options and corporate liabilities

Cited in

(10)

• Efficient exponential Rosenbrock methods till order four
• A robust spectral method for pricing of American put options on zero-coupon bonds
• Efficient exponential time integration for simulating nonlinear coupled oscillators
• Rational Krylov methods in exponential integrators for European option pricing.
• Convergence of an exponential Runge-Kutta method for non-smooth initial data
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing
• Direct computation for American put option and free boundary using finite difference method
• Exponential additive Runge-Kutta methods for semi-linear differential equations
• A note on exponential Rosenbrock-Euler method for the finite element discretization of a semilinear parabolic partial differential equation
• Exponential Rosenbrock methods and their application in visual computing

Describes a project that uses

Uses Software

• Matlab
• RODAS

This page was built for publication: Exponential Rosenbrock integrators for option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q970405)