A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models

DOI10.1007/978-3-319-73441-5_64zbMath1476.91219OpenAlexW2782285645MaRDI QIDQ3297465

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 20 July 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-73441-5_64

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• On generalized Traub's method for absolute value equations
• A generalized Newton method for absolute value equations
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• On splitting-based numerical methods for nonlinear models of European options

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