Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model

DOI10.1007/s11075-016-0138-3zbMath1354.91166OpenAlexW2346466252MaRDI QIDQ503351

Miglena N. Koleva, Lubin G. Vulkov, Walter Mudzimbabwe

Publication date: 12 January 2017

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0138-3

zbMATH Keywords

convergenceoption pricingRichardson extrapolationhigh-order compact difference scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (7)

Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ High Order Compact Schemes for Option Pricing with Liquidity Shocks ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method ⋮ Numerical Simulation of the Coupled Sine-Gordon Equations via a Linearized and Decoupled Compact ADI Method ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ Numerical method for optimal portfolio in an exponential utility regime-switching model

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