تقرير
Second order finite volume IMEX numerical methods for option pricing
| العنوان: | Second order finite volume IMEX numerical methods for option pricing |
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| المؤلفون: | J.G. LÓPEZ-SALAS, M. SUREZ-TABOADA, M.J. CASTRO, A.M. FERREIRO-FERREIRO, J.A. GARCÍA-RODRÍGUEZ |
| سنة النشر: | 2022 |
| المجموعة: | Zenodo |
| مصطلحات موضوعية: | Mathematical Finance, Computational finance, Numerical analysis, Numerical Methods, High order, Runge Kutta, Imex, Option pricing, Finite volume, Parabolic |
| الوصف: | This article deals with the development of second order finite volume numerical schemes for solving option pricing problems, modelled by low dimensional advection-diffusion-reaction scalar partial differential equations. These equations will be discretized using second order finite volume Implicit-Explicit (IMEX) Runge-Kutta schemes. The developed methods will be able to overcome the time step restriction due to the strict stability condition of parabolic problems with diffusion terms. Besides, the schemes will offer high-accurate and non oscillatory approximations of option prices and their Greeks. |
| نوع الوثيقة: | report |
| اللغة: | English |
| العلاقة: | https://zenodo.org/record/6377976Test; https://doi.org/10.5281/zenodo.6377976Test; oai:zenodo.org:6377976 |
| DOI: | 10.5281/zenodo.6377976 |
| الإتاحة: | https://doi.org/10.5281/zenodo.6377976Test https://doi.org/10.5281/zenodo.6377975Test https://zenodo.org/record/6377976Test |
| حقوق: | info:eu-repo/semantics/openAccess ; https://creativecommons.org/licenses/by/4.0/legalcodeTest |
| رقم الانضمام: | edsbas.13F4AB55 |
| قاعدة البيانات: | BASE |
| DOI: | 10.5281/zenodo.6377976 |
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