A quick operator splitting method for option pricing
type: Item
instance of: scholarly article
title: A quick operator splitting method for option pricing
zbMATH Open document ID: 1485.91253
author: Chenglong Xu
author: Bihao Su
author: Chan Liu
published in: Journal of Computational and Applied Mathematics
publication date: 2022-02-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7472428
zbMATH Keywords: ADI operator-splitting
zbMATH Keywords: finite difference method for partial differential equation
zbMATH Keywords: preservation of convexity
zbMATH Keywords: removing of cross derivative term
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113949
OpenAlex ID: W4200518845
Wikidata QID: Q114201945
cites work: ADI schemes for higher-order nonlinear diffusion equations.
cites work: IMPROVED ACCURACY FOR LOCALLY ONE-DIMENSIONAL METHODS FOR PARABOLIC EQUATIONS
cites work: Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
cites work: A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
cites work: Removing the correlation term in option pricing Heston model: numerical analysis and computing
cites work: High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
cites work: A mixed derivative terms removing method in multi-asset option pricing problems
cites work: On multigrid for linear complementarity problems with application to American-style options
cites work: Numerical solution of two asset jump diffusion models for option valuation
cites work: Operator splitting methods for pricing American options under stochastic volatility
cites work: COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
cites work: Multigrid for American option pricing with stochastic volatility
cites work: A Componentwise Splitting Method for Pricing American Options Under the Bates Model
DOI: 10.1016/J.CAM.2021.113949
description: scientific article; zbMATH DE number 7472428