Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations

DOI10.1155/2015/359028zbMath1418.35213OpenAlexW2006977074WikidataQ59105845 ScholiaQ59105845MaRDI QIDQ1723304

Junseok Kim, Seungsuk Seo, Dongsun Lee, Darae Jeong, Hyeongseok Hwang, Yongho Choi

Publication date: 19 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/359028

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Theoretical approximation in context of PDEs (35A35)

Related Items (4)

Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ A robust spline collocation method for pricing American put options

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
• Pricing extendible options using the fast Fourier transform
• A comparison study of ADI and operator splitting methods on option pricing models
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• High-order computational methods for option valuation under multifactor models
• Application of homotopy analysis method to option pricing under Lévy processes
• A simple numerical method for pricing an American put option
• Far Field Boundary Conditions for Black--Scholes Equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• AN ADAPTIVE FINITE DIFFERENCE METHOD USING FAR-FIELD BOUNDARY CONDITIONS FOR THE BLACK-SCHOLES EQUATION
• 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
• Some mathematical results in the pricing of American options
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
• Tools for computational finance

This page was built for publication: Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations