A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model

DOI10.1016/j.mcm.2010.02.023zbMath1201.65156OpenAlexW2042200720MaRDI QIDQ611761

Carlos Vázquez, A. González-Gaspar

Publication date: 14 December 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.02.023

zbMATH Keywords

numerical methodsfinite differencesHobson-Rogers modelcharacteristics schemeKolmogorov PDEoptions pricing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Analysis of an uncertain volatility model
• An upwind approach for an American and European option pricing model
• A finite difference method for a boundary value problem related to the Kolmogorov equation
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Hypoelliptic second order differential equations
• Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
• Complete Models with Stochastic Volatility
• A summary of numerical methods for time-dependent advection-dominated partial differential equations

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