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Solving finite difference schemes arising in trivariate option pricing

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  • Gilli, Manfred
  • Kellezi, Evis
  • Pauletto, Giorgio

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  • Gilli, Manfred & Kellezi, Evis & Pauletto, Giorgio, 2002. "Solving finite difference schemes arising in trivariate option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1499-1515, August.
    • Handle: RePEc:eee:dyncon:v:26:y:2002:i:9-10:p:1499-1515
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    References listed on IDEAS

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    1. Izvorski, Ivailo, 1998. "A nonuniform grid method for solving PDE's," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1445-1452, August.
    2. Mrkaic, Mico, 2002. "Policy iteration accelerated with Krylov methods," Journal of Economic Dynamics and Control, Elsevier, vol. 26(4), pages 517-545, April.
    3. Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 277-283, September.
    4. Ekvall, Niklas, 1994. "Experiences in the Pricing of Trivariate Contingent Claims with Finite Difference Methods on a Massively Parallel Computer," Computational Economics, Springer;Society for Computational Economics, vol. 7(2), pages 63-72.
    5. Mark J. Schervish, 1984. "Multivariate Normal Probabilities with Error Bound," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(1), pages 81-94, March.
    6. Chen, Andrew H. & Kensinger, John W. & Conover, James A., 1998. "Valuing Flexible Manufacturing Facilities as Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 651-674.
    7. Giorgio Pauletto & Manfred Gilli, 2000. "Parallel Krylov Methods for Econometric Model Simulation," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 173-186, October.
    8. Gilli, Manfred & Pauletto, Giorgio, 1998. "Krylov methods for solving models with forward-looking variables," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1275-1289, August.
    9. Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1093-1111, June.
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    Cited by:

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    2. Stradi-Granados, Benito A. & Haven, Emmanuel, 2010. "The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: The case of the IN/GB method," European Journal of Operational Research, Elsevier, vol. 203(1), pages 222-229, May.

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