High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique

DOI10.1007/978-3-319-61282-9_21zbMath1420.91509OpenAlexW2754153270MaRDI QIDQ4626514

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Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_21

zbMATH Keywords

basket options pricinghigh-order-compact ADI schemes

Mathematics Subject Classification ID

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

Related Items (1)

An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model

Cites Work

• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Analysis of linear difference schemes in the sparse grid combination technique
• Smoothing of initial data and rates of convergence for parabolic difference equations

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