Numerical solution of systems of partial integral differential equations with application to pricing options-Reference-Cited by-同舟云学术

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Numerical solution of systems of partial integral differential equations with application to pricing options

Published:2018-02-21 Issue:3 Volume:34 Page:1033-1052
ISSN:0749-159X
Container-title:Numerical Methods for Partial Differential Equations
language:en
Short-container-title:Numer. Methods Partial Differential Eq.

Author:

Yousuf Muhammad¹^ORCID

Affiliation:

1. Department of Mathematics and Statistics; King Fahd University of Petroleum and Minerals; Dhahran 31261 Saudi Arabia.

Funder

KFUPM

Publisher

Wiley

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis

Reference43 articles.

1. Pricing American options under multistate regime switching with an efficient L stable method;Yousuf;Int. J. Comput. Math.,2015

2. Exponential time differencing for stiff systems;Cox;J. Comput. Phys.,2002

3. The numerical approximation of nonlinear Black-Scholes model for exotic path-dependent American options with transaction cost;Yousuf;Int. J. Comput. Math.,2012

4. Implicit-explicit methods for time-dependent partial differential equations;Ascher;SIAM J. Numer. Anal.,1995

5. Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations;Ascher;Appl. Numer. Math.,1997

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2. Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models;Journal of Applied Mathematics and Computing;2024-03-07

3. A novel approach to solving system of integral partial differential equations based on hybrid modified block‐pulse functions;Mathematical Methods in the Applied Sciences;2024-02-06

4. An Effective Algorithm for Pricing Option with Mixed-Exponential Jump and Double Stochastic Volatility;Advances in Natural Computation, Fuzzy Systems and Knowledge Discovery;2023

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