Generalized finite integration method with space-time decomposition technique for solving high dimensional option pricing models

DOI10.1016/J.ENGANABOUND.2022.10.028zbMath1521.91389MaRDI QIDQ6044723

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Publication date: 22 May 2023

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

option pricingspace-time decompositionmulti-dimensional PDEsgeneralized finite integration method

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

• The Pricing of Options and Corporate Liabilities
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• A fractional Tikhonov regularization method for an inverse backward and source problems in the time-space fractional diffusion equations
• Finite integration method for solving multi-dimensional partial differential equations
• Generalized finite integration method with Volterra operator for multi-dimensional biharmonic equations
• Finite integration method for nonlocal elastic bar under static and dynamic loads
• An integration preconditioning method for solving option pricing problems

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