Lattice Boltzmann methods for solving partial differential equations of exotic option pricing

DOI10.1007/s11464-015-0500-0zbMath1335.91112OpenAlexW2187370399MaRDI QIDQ256532

Zhiqiang Zhou, Jingtang Ma

Publication date: 9 March 2016

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-015-0500-0

zbMATH Keywords

stabilitycomputational complexitylattice Boltzmann methodChapman-Enskog multi-scale expansionexotic option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Rarefied gas flows, Boltzmann equation in fluid mechanics (76P05) Particle methods and lattice-gas methods (76M28) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching

Cites Work

• The Pricing of Options and Corporate Liabilities
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