Open AccessBook
Pricing Financial Instruments: The Finite Difference Method
Curt Randall,Domingo Tavella +1 more
TLDR
The Pricing Equations. as mentioned in this paper and the Finite-difference method are the most commonly used methods for finite difference methods in the literature, and they can be found in:Abstract:
The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.read more
Citations
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Journal ArticleDOI
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
Andrey Itkin,Fazlollah Soleymani +1 more
TL;DR: In this article, the authors modify the model of Itkin, Shcherbakov and Veygman (ISV), proposed for pricing Quanto CDS and risky bonds, in several ways.
Journal ArticleDOI
Conditional full stability of positivity-preserving finite difference scheme for diffusion–advection-reaction models
Vera N. Egorova,Lucas Jódar +1 more
TL;DR: This work has been partially supported by the Ministerio de Economia y Competitividad Spanish grant MTM2017-89664-P.
Dissertation
Localised Radial Basis Function Methods for Partial Differential Equations
TL;DR: In this paper, the authors proposed a radial basis function method with a high order convergence of the approximated solution and flexibility to the domain geometry, which is similar to the method in this paper.
Journal Article
Low Volatility Options and Numerical Diffusion of Finite Difference Schemes
Mariyan Milev,Aldo Tagliani +1 more
TL;DR: In this paper, the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options is explored.
Book ChapterDOI
Standard Methods for Standard Options
TL;DR: In this paper, the numerical solution of the Black-Scholes equation for European plain-vanilla options, and of the corresponding inequalities for the American-style case, are described and compared.