Name
Abstract | ||
|---|---|---|
In this paper, we are concerned with the time integration of differential equations modeling option pricing. In particular, we consider the Black-Scholes equation for American options. As an alternative to existing methods, we present exponential Rosenbrock integrators. These integrators require the evaluation of the exponential and related functions of the Jacobian matrix. The resulting methods have good stability properties. They are fully explicit and do not require the numerical solution of linear systems, in contrast to standard integrators. We have implemented some numerical experiments in Matlab showing the reliability of the new method. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1016/j.cam.2009.06.015 | J. Computational Applied Mathematics |
Keywords | Field | DocType |
jacobian matrix,american option,option pricing,differential equation,numerical experiment,good stability property,linear system,black-scholes equation,new method,numerical solution,exponential rosenbrock integrator,black scholes equation,exponential integrator,exponential integrators | Rosenbrock function,Mathematical optimization,Valuation of options,Linear system,Exponential integrator,Jacobian matrix and determinant,Rosenbrock methods,Numerical stability,Numerical linear algebra,Mathematics | Journal |
Volume | Issue | ISSN |
234 | 4 | 0377-0427 |
Citations | PageRank | References |
1 | 0.39 | 5 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Muhammad Asif Gondal | 1 | 73 | 7.77 |