Numerical solutions of Black-Scholes integro-differential equations with convergence analysis

DOI10.3906/mat-1812-89zbMath1418.65202OpenAlexW2946939443WikidataQ127760485 ScholiaQ127760485MaRDI QIDQ5229826

Samaneh Bani Asadi, Mahmoud Mohseni Moghadam, Azim Rivaz

Publication date: 19 August 2019

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1812-89

zbMATH Keywords

tau methodHermitian polynomialEuropean option pricing problemstochastic integro-differential Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Approximate solution of stochastic Volterra integro-differential equations by using moving least squares scheme and spectral collocation method

Cites Work

• Optimal error estimates of the Legendre tau method for second-order differential equations
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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• European Option Pricing with Transaction Costs
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Fast deterministic pricing of options on Lévy driven assets
• Option pricing when underlying stock returns are discontinuous
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A high order finite element scheme for pricing options under regime switching jump diffusion processes

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