Optimal non-uniform finite difference grids for the Black–Scholes equations-Reference-Cited by-同舟云学术

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Optimal non-uniform finite difference grids for the Black–Scholes equations

Published:2021-04 Issue: Volume:182 Page:690-704
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Lyu Jisang,Park Eunchae,Kim Sangkwon,Lee Wonjin,Lee Chaeyoung,Yoon Sungha,Park Jintae,Kim Junseok

Funder

Ministry of Education of Korea

Korea University Research Fund

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference29 articles.

1. A computational method to price with transaction costs under the nonlinear black–scholes model;Al-Zhour;Chaos Solitons Fractals,2019

2. Non-uniform grids for PDE in finance;Bodeau;SSRN Electron. J.,2000

3. Multi-asset black–scholes model as a variable second class constrained dynamical system;Bustamante;Physica A,2016

4. A 2nd-order ADI finite difference method for a 2D fractional black–scholes equation governing European two asset option pricing;Chen;Math. Comput. Simulation,2020

5. An efficient algorithm for options under merton’s jump-diffusion model on nonuniform grids;Chen;Comput. Econ.,2019

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets;Mathematics and Computers in Simulation;2024-06

2. Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions;Computational Economics;2022-02-17

3. A Partition of unity finite element method for valuation American option under Black-Scholes model;Moroccan Journal of Pure and Applied Analysis;2021-01-29

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