Exponential Rosenbrock integrators for option pricing

DOI10.1016/J.CAM.2009.06.015zbMath1187.91226OpenAlexW2005915565MaRDI QIDQ970405

Muhammad Asif Gondal

Publication date: 17 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.06.015

zbMATH Keywords

American optionsexponential integratorsexponential Rosenbrock methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (7)

Efficient exponential time integration for simulating nonlinear coupled oscillators ⋮ Unnamed Item ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ Exponential Additive Runge-Kutta Methods for Semi-Linear Differential Equations ⋮ A note on exponential Rosenbrock-Euler method for the finite element discretization of a semilinear parabolic partial differential equation ⋮ A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds ⋮ Exponential Rosenbrock Methods and Their Application in Visual Computing

Uses Software

• Matlab
• RODAS

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A class of explicit multistep exponential integrators for semilinear problems
• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
• Implementation of exponential Rosenbrock-type integrators
• Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems
• Sharp \(L^{\infty}\)-error estimates for semilinear elliptic problems with free boundaries
• Penalty methods for American options with stochastic volatility
• Exponential Runge-Kutta methods for parabolic problems.
• A class of explicit exponential general linear methods
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Exponential Rosenbrock-Type Methods
• Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems

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