A Contour Integral Method for the Black–Scholes and Heston Equations

DOI10.1137/090776081zbMath1233.65067arXiv0912.0434OpenAlexW2163191644MaRDI QIDQ3095083

J. A. C. Weideman, Karel J. in 't Hout

Publication date: 28 October 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.0434

zbMATH Keywords

Laplace transformnumerical resultsadvection-diffusion equationBlack-Scholes equationmatrix exponentialnumerical contour integrationHeston equationKrylov iterative methodfinancial option pricingquadrature trapezoidal formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Iterative numerical methods for linear systems (65F10) Parallel numerical computation (65Y05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) First-order hyperbolic systems (35L40)

Related Items (20)

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Uses Software

• UMFPACK
• Eigtool

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