期刊文献+
共找到1篇文章
< 1 >
每页显示 20 50 100
Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem
1
作者 German I.Ramırez-Espinoza Matthias Ehrhardt 《Advances in Applied Mathematics and Mechanics》 SCIE 2013年第6期759-790,共32页
This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations(PDE)in the convectiondominated case,i.e.,for European options,if the ratio of the risk-fr... This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations(PDE)in the convectiondominated case,i.e.,for European options,if the ratio of the risk-free interest rate and the squared volatility-known in fluid dynamics as P´eclet number-is high.For Asian options,additional similar problems arise when the"spatial"variable,the stock price,is close to zero.Here we focus on three methods:the exponentially fitted scheme,a modification of Wang’s finite volume method specially designed for the Black-Scholes equation,and the Kurganov-Tadmor scheme for a general convection-diffusion equation,that is applied for the first time to option pricing problems.Special emphasis is put in the Kurganov-Tadmor because its flexibility allows the simulation of a great variety of types of options and it exhibits quadratic convergence.For the reduction technique proposed by Wilmott,a put-call parity is presented based on the similarity reduction and the put-call parity expression for Asian options.Finally,we present experiments and comparisons with different(non)linear Black-Scholes PDEs. 展开更多
关键词 Black-Scholes equation convection-dominated case exponential fitting methods fitted finite volume method kurganov-tadmor scheme minmod limiter
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部