A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem

DOI10.1016/j.cam.2015.02.054zbMath1338.91154arXiv1404.2459OpenAlexW2003181722MaRDI QIDQ747919

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 19 October 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2459

zbMATH Keywords

stabilityfully nonlinear parabolic equationnon-negativity preservationpositive ODE systemtwo-asset worst-case option pricing modelvar Leer flux-limiter

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing ⋮ Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On convergence of difference schemes for IBVP for quasilinear parabolic equations with generalized solutions
• A stochastic correlation model with mean reversion for pricing multi-asset options
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE
• A computational scheme for uncertain volatility model in option pricing
• Positivity of Runge-Kutta and diagonally split Runge-Kutta methods
• Penalty methods for American options with stochastic volatility
• Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme
• PDE methods for pricing barrier options
• High-resolution FEM-TVD schemes based on a fully multidimensional flux limiter
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Far Field Boundary Conditions for Black--Scholes Equations
• A positive splitting method for mixed hyperbolic-parabolic systems
• A versatile approach for stochastic correlation using hyperbolic functions
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Flux-splitting schemes for parabolic equations with mixed derivatives

This page was built for publication: A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem