Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

DOI10.1007/s10287-021-00394-9OpenAlexW3142536365WikidataQ114228068 ScholiaQ114228068MaRDI QIDQ2051161

Luca Vincenzo Ballestra

Publication date: 24 November 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00394-9

zbMATH Keywords

finite difference methodRichardson extrapolationmesh optimizationhigh-order accuracydouble barrier option

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models

Cites Work

• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
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• Efficient implicit scheme with positivity preserving and smoothing properties
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• Solving Ordinary Differential Equations I
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
• Fractional Brownian Motions, Fractional Noises and Applications
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