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Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing - MaRDI portal

Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193)

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Language	Label	Description	Also known as
English	Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing	scientific article

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scholarly article

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Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (English)

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Finite Difference Methods,Theory and Applications

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publication date

20 August 2015

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-20239-6_10

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Computational Methods for Option Pricing

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Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

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Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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Option pricing with transaction costs and a nonlinear Black-Scholes equation

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The Pricing of Options and Corporate Liabilities

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A penalty method for a fractional order parabolic variational inequality governing American put option valuation

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A finite difference method for pricing European and American options under a geometric Lévy process

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Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing

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Numerical solution of linear and nonlinear Black-Scholes option pricing equations

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Viscosity Solutions of Hamilton-Jacobi Equations

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Computation of reservation prices of options with proportional transaction costs

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European Option Pricing with Transaction Costs

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A power penalty approach to a nonlinear complementarity problem

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A penalty method for a mixed nonlinear complementarity problem

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A fitted finite volume method for the valuation of options on assets with stochastic volatilities

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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

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A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem

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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

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Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs

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Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs

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Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

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A numerical method for pricing European options with proportional transaction costs

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Uncertain volatility and the risk-free synthesis of derivatives

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A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem

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An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems

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Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval

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An upwind approach for an American and European option pricing model

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Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation

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A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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A penalty method for a finite-dimensional obstacle problem with derivative constraints

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A power penalty method for solving a nonlinear parabolic complementarity problem

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A power penalty method for linear complementarity problems

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A power penalty method for a bounded nonlinear complementarity problem

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Power penalty method for a linear complementarity problem arising from American option valuation

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A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation

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Some mathematical results in the pricing of American options

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A computational scheme for uncertain volatility model in option pricing

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Convergence property of an interior penalty approach to pricing American option

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Pricing American bond options using a penalty method

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A penalty approximation method for a semilinear parabolic double obstacle problem

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Penalty methods for American options with stochastic volatility

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Identifiers

zbMATH Open document ID

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10.1007/978-3-319-20239-6_10

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2942193

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