On the acceleration of explicit finite difference methods for option pricing

DOI10.1080/14697680903055570zbMath1266.91108OpenAlexW2043989388MaRDI QIDQ5300443

Conall O'Sullivan, Stephen O'Sullivan

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arrow.dit.ie/cgi/viewcontent.cgi?article=1160&context=scschmatart

zbMATH Keywords

American optionsBlack-Scholes modelexotic optionscomputational financenumerical methods for option pricingequity options

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)

Related Items (11)

A class of high-order Runge-Kutta-Chebyshev stability polynomials ⋮ Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ Pricing real estate index options under stochastic interest rates ⋮ Pricing and simulation for real estate index options: radial basis point interpolation ⋮ Modified B-spline collocation approach for pricing American style Asian options ⋮ Extrapolated stabilized explicit Runge-Kutta methods ⋮ ESERK5: a fifth-order extrapolated stabilized explicit Runge-Kutta method ⋮ Accurate numerical method for pricing two-asset American put options ⋮ Pricing real estate index options by compactly supported radial-polynomial basis point interpolation ⋮ PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS ⋮ PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME

Uses Software

• Pluto
• NAPACK

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Convergence properties of the Runge-Kutta-Chebyshev method
• On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
• Stability of finite difference approximations to a diffusion-convection equation
• Super-time-stepping acceleration of explicit schemes for parabolic problems
• Efficient numerical methods for pricing American options under stochastic volatility
• An exact and explicit solution for the valuation of American put options
• Explicit Runge-Kutta methods for parabolic partial differential equations

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