A high-order finite difference method for option valuation

DOI10.1016/j.camwa.2017.05.006zbMath1410.91482OpenAlexW2621301439MaRDI QIDQ1705003

Désiré Yannick Tangman, Mehzabeen Jumanah Dilloo

Publication date: 14 March 2018

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.05.006

zbMATH Keywords

high-order schemeexponential time integrationnonlinear Black-Scholes equationlocal mesh refinementMerton's jump-diffusion modelHeston's stochastic volatility model

Mathematics Subject Classification ID

Related Items (8)

A spectral element method for option pricing under regime-switching with jumps ⋮ Numerical valuation of European and American options under Merton's model ⋮ A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing ⋮ A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ High-order exponential spline method for pricing European options ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ High order approximation of derivatives with applications to pricing of financial derivatives

Uses Software

• MATLAB expm

Cites Work

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