Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options

zbMath1292.91187MaRDI QIDQ2450049

Edson Pindza, Kailash C. Patidar, Edgard Ngounda

Publication date: 14 May 2014

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/ETNA/volumes/2011-2020/vol40/abstract_vol40_pp268-293.html

zbMATH Keywords

Black-Scholes equationEuropean optionsbarycentric interpolationdigital optionsbutterfly spread optionsimplicit-explicit predictor-corrector methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical solutions to stochastic differential and integral equations (65C30)

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