An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
DOI10.1007/S00009-024-02740-YMaRDI QIDQ6632418
Srinivasan Natesan, Saurabh Bansal
Publication date: 4 November 2024
Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)
option pricingfinite difference schemeRichardson extrapolationHeston modelmulti-asset Black-Scholes equationNewton linearization technique
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
Cites Work
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Sixth order compact scheme combined with multigrid method and extrapolation technique for 2D Poisson equation
- Lie symmetry analysis of differential equations in finance
- Highly accurate numerical solutions with repeated Richardson extrapolation for 2D Laplace equation
- Extrapolation of difference methods in option valuation
- A comparison study of ADI and operator splitting methods on option pricing models
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- On the multidimensional Black-Scholes partial differential equation
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- A robust error analysis of the OSC method for a multi-term fourth-order sub-diffusion equation
- An efficient ADI difference scheme for the nonlocal evolution problem in three-dimensional space
- Stability and convergence of difference schemes for multi-dimensional parabolic equations with variable coefficients and mixed derivatives
- A computationally efficient numerical approach for multi-asset option pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Tools for computational finance.
- A space-time spectral order sinc-collocation method for the fourth-order nonlocal heat model arising in viscoelasticity
- Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
- An implicit robust numerical scheme with graded meshes for the modified Burgers model with nonlocal dynamic properties
This page was built for publication: An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6632418)
