scientific article; zbMATH DE number 6818006

zbMath1411.91630MaRDI QIDQ4597508

Kai Zhang, Xiao Qi Yang

Publication date: 13 December 2017

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume-14-2017/No-3-17/2017-03-05.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

finite volume methodoption pricingpartial differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (5)

Unnamed Item ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method ⋮ A priori and a posteriori estimates of stabilized mixed finite volume methods for the incompressible flow arising in arteriosclerosis

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