Finite difference method for the multi-asset Black–Scholes equations
In this paper, we briefly review the finite difference method (FDM) for the Black–Scholes (BS)
equations for pricing derivative securities and provide the MATLAB codes in the Appendix …
equations for pricing derivative securities and provide the MATLAB codes in the Appendix …
Efficient pricing of options in jump–diffusion models: Novel implicit–explicit methods for numerical valuation
This paper presents novel implicit–explicit Runge–Kutta type methods for numerically
simulating partial integro-differential equations that arise when pricing options under jump …
simulating partial integro-differential equations that arise when pricing options under jump …
A new approach for the black–scholes model with linear and nonlinear volatilities
Since financial engineering problems are of great importance in the academic community,
effective methods are still needed to analyze these models. Therefore, this article focuses …
effective methods are still needed to analyze these models. Therefore, this article focuses …
Penalty method for indifference pricing of American option in a liquidity switching market
In this paper we develop a numerical method for pricing American options under regime-
switching model, whose solutions are option buyer indifference prices. The problem is …
switching model, whose solutions are option buyer indifference prices. The problem is …
A hybrid stochastic river environmental restoration modeling with discrete and costly observations
H Yoshioka, M Tsujimura, K Hamagami… - Optimal Control …, 2020 - Wiley Online Library
A recent river environmental restoration problem is approached from a standpoint of
stochastic control of hybrid regime‐switching diffusion processes with discrete and costly …
stochastic control of hybrid regime‐switching diffusion processes with discrete and costly …
Numerical simulation of the coupled sine-Gordon equations via a linearized and decoupled compact ADI method
D Deng - Numerical Functional Analysis and Optimization, 2019 - Taylor & Francis
This article focuses on the development and analysis of a high-order compact (HOC)
alternating direction implicit (ADI) method for solving a two-dimensional (2D) coupled sine …
alternating direction implicit (ADI) method for solving a two-dimensional (2D) coupled sine …
Numerical analysis and simulation of European options under liquidity shocks: A coupled semilinear system approach with new IMEX methods
This paper employs a numerical approach to investigate the impact of liquidity shocks on
European options in modeling markets. To accurately capture the behavior of European …
European options in modeling markets. To accurately capture the behavior of European …
A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
P Roul - Numerical Algorithms, 2024 - Springer
The authors of Kaur and Natesan [A novel numerical scheme for time-fractional Black-
Scholes PDE governing European options in mathematical finance,(Numerical Algorithms …
Scholes PDE governing European options in mathematical finance,(Numerical Algorithms …
RBF–based IMEX finite difference schemes for pricing option under liquidity switching
A Kumar, G Rakshit, D Kumar Yadav… - International Journal of …, 2024 - Taylor & Francis
In this work, we introduce two accurate and efficient finite difference methods based on
radial basis functions (RBF–FD) for pricing European and American options under liquidity …
radial basis functions (RBF–FD) for pricing European and American options under liquidity …
[PDF][PDF] A robust numerical method for single and multi-asset option pricing
S Mashayekhi, SN Mousavi - AIMS Mathematics, 2022 - researchgate.net
A robust numerical method for single and multi-asset option pricing Page 1 http://www.aimspress.com/journal/Math
AIMS Mathematics, 7(3): 3771–3787. DOI: 10.3934/math.2022209 Received: 20 October …
AIMS Mathematics, 7(3): 3771–3787. DOI: 10.3934/math.2022209 Received: 20 October …