A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance

DOI10.1007/978-3-662-43880-0_69zbMath1447.91193OpenAlexW2284756465MaRDI QIDQ5116379

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 25 August 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-43880-0_69

zbMATH Keywords

hyperbolic problemvolatility functionspot pricetime step restrictionpositivity preserve

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)

Cites Work

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• Existence of solutions to initial value problem for a parabolic Monge-Ampère equation and application
• A positive splitting method for mixed hyperbolic-parabolic systems
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
• A Numerical Study of a Parabolic Monge-Ampère Equation in Mathematical Finance
• The Mathematics of Financial Derivatives

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