Implicit-explicit Runge-Kutta methods for financial derivatives pricing models

DOI10.1016/j.ejor.2005.01.013zbMath1115.91029OpenAlexW2031299990MaRDI QIDQ819096

Javier de Frutos

Publication date: 22 March 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.01.013

zbMATH Keywords

finite element methodAmerican optionsfinanceimplicit-explicit Runge-Kutta methods

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Related Items

A spectral method for bonds ⋮ Rational Spectral Collocation Method for Pricing American Vanilla and Butterfly Spread Options ⋮ A modification of Cauchy's method for quadratic equations ⋮ Exponential Rosenbrock integrators for option pricing ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

Uses Software

• RODAS

Cites Work

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