Numerical method for optimal portfolio in an exponential utility regime-switching model

DOI10.1080/00207160.2018.1440289zbMath1490.91243OpenAlexW2794318243WikidataQ115552418 ScholiaQ115552418MaRDI QIDQ5030573

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 17 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1440289

zbMATH Keywords

convergenceregime-switching modelsemi-linear parabolic equationvan Leer flux-limiterexponential non-linearitynegativity preserving

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) 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) Portfolio theory (91G10) Initial-boundary value problems for second-order parabolic systems (35K51)

Cites Work

• An energy-conserving second order numerical scheme for nonlinear hyperbolic equation with an exponential nonlinear term
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• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
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• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
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