Application of Operator Splitting Methods in Finance

DOI10.1007/978-3-319-41589-5_16zbMath1371.91193arXiv1504.01022OpenAlexW1606767626MaRDI QIDQ5350488

Jari Toivanen, Karel J. in 't Hout

Publication date: 1 September 2017

Published in: Splitting Methods in Communication, Imaging, Science, and Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.01022

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 (12)

Isogeometric analysis in option pricing ⋮ The deep parametric PDE method and applications to option pricing ⋮ A new operator splitting method for American options under fractional Black-Scholes models ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing ⋮ Proper Orthogonal Decomposition in Option Pricing ⋮ Operator splitting schemes for the two-asset Merton jump-diffusion model ⋮ Operator splitting schemes for American options under the two-asset Merton jump-diffusion model ⋮ An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model ⋮ ADI schemes for valuing European options under the Bates model ⋮ Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

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