Artificial Boundary Method for European Pricing Option Problem

DOI10.4208/eajam.080320.270420zbMath1461.91356OpenAlexW3049132546MaRDI QIDQ4986626

Hongshan Li, Zhongyi Huang

Publication date: 27 April 2021

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.080320.270420

zbMATH Keywords

option pricingasymptotic analysisHeston modelartificial boundary condition

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) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Infinite elements
• Unnamed Item
• Unnamed Item

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