On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
Author
Abstract
Suggested Citation
DOI: 10.1016/j.amc.2023.128380
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gunter H Meyer, 2015. "The Time-Discrete Method of Lines for Options and Bonds:A PDE Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9292, August.
- Milovanović, Slobodan & von Sydow, Lina, 2020. "A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 174(C), pages 205-217.
- Lishang Jiang, 2005. "Mathematical Modeling and Methods of Option Pricing," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5855, February.
- Soleymani, Fazlollah & Akgül, Ali, 2019. "Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 298-309.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gholamreza Farahmand & Taher Lotfi & Malik Zaka Ullah & Stanford Shateyi, 2023. "Finding an Efficient Computational Solution for the Bates Partial Integro-Differential Equation Utilizing the RBF-FD Scheme," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
- Tao Liu & Malik Zaka Ullah & Stanford Shateyi & Chao Liu & Yanxiong Yang, 2023. "An Efficient Localized RBF-FD Method to Simulate the Heston–Hull–White PDE in Finance," Mathematics, MDPI, vol. 11(4), pages 1-15, February.
- Hong-Ming Yin & Jin Liang & Yuan Wu, 2018. "On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate," JRFM, MDPI, vol. 11(4), pages 1-12, December.
- Hyong-Chol O & Mun-Chol KiM, 2013. "The Pricing of Multiple-Expiry Exotics," Papers 1302.3319, arXiv.org, revised Aug 2013.
- Ben Boukai, 2021. "The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model," Papers 2108.07937, arXiv.org, revised Aug 2021.
- Ardian, Aldin & Kumral, Mustafa, 2020. "Incorporating stochastic correlations into mining project evaluation using the Jacobi process," Resources Policy, Elsevier, vol. 65(C).
- Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
- Hyong-chol O & Yong-hwa Ro & Ning Wan, 2013. "The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations," Papers 1310.8296, arXiv.org, revised Jul 2014.
- Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
- Endah R. M. Putri & Lutfi Mardianto & Amirul Hakam & Chairul Imron & Hadi Susanto, 2021. "Removing non-smoothness in solving Black-Scholes equation using a perturbation method," Papers 2104.07839, arXiv.org, revised Apr 2021.
- Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics," Papers 2106.07362, arXiv.org.
- Hyong Chol O & Tae Song Kim, 2020. "Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach," Papers 2007.01511, arXiv.org.
- Yang, Xiangfeng & Zhang, Zhiqiang & Gao, Xin, 2019. "Asian-barrier option pricing formulas of uncertain financial market," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 79-86.
- Baaquie, Belal E. & Yu, Miao, 2017. "Option price and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 512-535.
- Hyong-chol O & Song-San Jo, 2019. "Variational inequality for perpetual American option price and convergence to the solution of the difference equation," Papers 1903.05189, arXiv.org.
- Ben Boukai, 2021. "On the RND under Heston's stochastic volatility model," Papers 2101.03626, arXiv.org.
- Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016. "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series 368, Quantitative Finance Research Centre, University of Technology, Sydney.
- Karim, Md Aktar Ul & Aithal, Vikram & Bhowmick, Amiya Ranjan, 2023. "Random variation in model parameters: A comprehensive review of stochastic logistic growth equation," Ecological Modelling, Elsevier, vol. 484(C).
- Hyong-chol O & Yong-hwa Ro & Ning Wan, 2014. "A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations," Papers 1406.2053, arXiv.org.
- Kang, Boda & Ziveyi, Jonathan, 2018. "Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 43-56.
More about this item
Keywords
High-dimensional Black-Scholes; Quartically convergent; Stability; Discretization; Payoff;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:463:y:2024:i:c:s0096300323005490. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.