Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model

DOI10.1016/J.CAMWA.2018.08.011zbMath1442.65155OpenAlexW2889428656WikidataQ115359502 ScholiaQ115359502MaRDI QIDQ2202986

Yanyan Li

Publication date: 1 October 2020

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.08.011

zbMATH Keywords

Laplace transformfinite difference methodsEuropean call optionnumerical methods for PDEshard-to-borrow model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ On a hypercycle equation with infinitely many members ⋮ Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Fast numerical valuation of options with jump under Merton's model
• Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Parabolic and hyperbolic contours for computing the Bromwich integral
• Numerical Methods for Elliptic and Parabolic Partial Differential Equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model