A mixed derivative terms removing method in multi-asset option pricing problems

DOI10.1016/j.aml.2016.04.011zbMath1342.35400OpenAlexW2342566231MaRDI QIDQ289274

Fazlollah Soleymani, Rafael Company, Vera N. Egorova, Lucas Jodar

Publication date: 30 May 2016

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2016.04.011

zbMATH Keywords

\(LDL^T\) factorizationBunch-Kaufman factorizationmixed derivative termsmultiasset option pricingmultidimensional partial differential equations

Mathematics Subject Classification ID

Related Items (10)

A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models ⋮ A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation ⋮ A quick operator splitting method for option pricing

Uses Software

• mctoolbox

Cites Work

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