References
- Z. Cen, A. Le, and A. Xu, Finite difference scheme with a moving mesh for pricing Asian options, Appl. Math. Comput. 219 (2013), no. 16, 8667-8675. https://doi.org/10.1016/j.amc.2013.02.065
- D. J. Duffy, Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, John Wiley and Sons, 2006.
- A. Esser, General valuation principles for arbitrary payoffs and applications to power options under stochastic volatility, Financ. Markets and Portfolio Manage. 17 (2003), no. 3, 351-372. https://doi.org/10.1007/s11408-003-0305-0
- A. Golbabai, L. V. Ballestra, and D. Ahmadian, A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options, Comput. Econ. (2013), 1-21.
- E. G. Haug, The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York, 1998.
- R. C. Heynen and H. M. Kat, Pricing and hedging power options, Financ. Eng. JPN. Markets 3 (1996), no. 3, 253-261. https://doi.org/10.1007/BF02425804
- S. Ikonen and J. Toivanen, Operator splitting methods for American option pricing, Appl. Math. Lett. 17 (2004), no. 7, 809-814. https://doi.org/10.1016/j.aml.2004.06.010
- K. J. In't Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, Int. J. Numer. Anal. Model 7 (2010), no. 2, 303-320.
-
A. Q. M. Khaliq, D. A. Voss, and K. Kazmi, Adaptive
${\theta}$ -methods for pricing American options, J. Comput. Appl. Math. 222 (2008), no. 1, 210-227. https://doi.org/10.1016/j.cam.2007.10.035 - G. Linde, J. Persson, and L. Von Sydow, A highly accurate adaptive finite difference solver for the Black-Scholes equation, Int. J. Comput. Math. 86 (2009), no. 12, 2104-2121. https://doi.org/10.1080/00207160802140023
- MathWorks, Inc.,MATLAB: the language of technical computing, http://www.mathworks.com/, The MathWorks, Natick, MA., 1998.
- C. Reisinger and G. Wittum, On multigrid for anisotropic equations and variational inequalities Pricing multi-dimensional European and American options, Comput. Vis. Sci. 7 (2004), no. 3-4, 189-197. https://doi.org/10.1007/s00791-004-0149-9
- A. Tagliani and M. Milev, Laplace Transform and finite difference methods for the Black-Scholes equation, Appl. Math. Comput. 220 (2013), 649-658. https://doi.org/10.1016/j.amc.2013.07.011
- P. G. Zhang, Exotic Options: a Guide to Second Generation Options, World Scientific, Singapore, 1998.
- N. Zheng and J. F. Yin, On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility, Appl. Math. Comput. 223 (2013), 411-422. https://doi.org/10.1016/j.amc.2013.08.022
- R. Zvan, K. R. Vetzal, and P. A. Forsyth, PDE methods for pricing barrier options, J. Econom. Dynam. Control 24 (2000), no. 11, 1563-1590. https://doi.org/10.1016/S0165-1889(00)00002-6
Cited by
- Cloaking and anamorphism for light and mass diffusion vol.19, pp.10, 2017, https://doi.org/10.1088/2040-8986/aa7df8
- On the multidimensional Black–Scholes partial differential equation pp.1572-9338, 2018, https://doi.org/10.1007/s10479-018-3001-1