The STRIKE Computational Finance Toolbox

DOI10.1007/978-3-319-61282-9_30zbMath1420.91510OpenAlexW2754588388MaRDI QIDQ4626527

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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_30

zbMATH Keywords

option pricingnumerical schemescomputational finance toolboxSTRIKE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Uses Software

• CFT
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Cites Work

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• The Pricing of Options and Corporate Liabilities
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Smoothing of initial data and rates of convergence for parabolic difference equations

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