A fourth-order smoothing scheme for pricing barrier options under stochastic volatility-Reference-Cited by-同舟云学术

A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

Published:2009-06 Issue:6 Volume:86 Page:1054-1067
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Yousuf M.

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

http://www.tandfonline.com/doi/pdf/10.1080/00207160802681653

Reference14 articles.

1. Gallopoulos, E. and Saad, Y. 1988. “On the parallel solution of parabolic equations”. Urbana–Champaigne: University of Illinois. Preprint, CSRD Report

2. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

3. Ikonen, S. 2003. “Efficient numerical solution of Black–Scholes equation by finite difference method”. Jyväskylä, Finland: University of Jyväskylä. Licentiate Thesis, Department of Mathematical Information Technology

4. On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations

5. Pricing exotic options with L-stable Padé schemes

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