Advanced search
Publication Cover
International Journal of Computer Mathematics Volume 86, 2009 - Issue 12
Submit an article Journal homepage
222
Views
14
CrossRef citations to date
0
Altmetric
Section B

A highly accurate adaptive finite difference solver for the Black–Scholes equation

Gunilla Linde Department of Information Technology, Uppsala University, Uppsala, Sweden
,
Jonas Persson Department of Information Technology, Uppsala University, Uppsala, Sweden
&
Lina Von Sydow Department of Information Technology, Uppsala University, Uppsala, SwedenCorrespondence[email protected]
Pages 2104-2121 | Received 17 Aug 2006, Accepted 24 Mar 2008, Published online: 14 Oct 2008

Citations (14)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Alexander Heinecke, Stefanie Schraufstetter & Hans-Joachim Bungartz. (2012) A highly parallel Black–Scholes solver based on adaptive sparse grids. International Journal of Computer Mathematics 89:9, pages 1212-1238.
Read now

Articles from other publishers (13)

Abolfazl Mighani, Ali Foroush Bastani & Seyed-Mohammad-Mahdi Kazemi. (2022) On Multilevel RBF Collocation Based on Operator Newton Iteration to Solve Nonlinear Black–Scholes Equations. Iranian Journal of Science and Technology, Transactions A: Science 46:2, pages 429-449.
Crossref
David Yan, M.C. Pugh & F.P. Dawson. (2021) Adaptive time-stepping schemes for the solution of the Poisson-Nernst-Planck equations. Applied Numerical Mathematics 163, pages 254-269.
Crossref
Slobodan Milovanović & Lina von Sydow. (2020) A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences. Mathematics and Computers in Simulation 174, pages 205-217.
Crossref
Darae Jeong, Minhyun Yoo & Junseok Kim. (2017) Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions. Computational Economics 51:4, pages 961-972.
Crossref
Slobodan Milovanović & Lina von Sydow. (2018) Radial Basis Function generated Finite Differences for option pricing problems. Computers & Mathematics with Applications 75:4, pages 1462-1481.
Crossref
Javier de Frutos & Víctor Gatón. (2017) Chebyshev reduced basis function applied to option valuation. Computational Management Science 14:4, pages 465-491.
Crossref
Lina von Sydow, Paria Ghafari, Erik Lehto & Mats Wångersjö. 2016. Numerical Mathematics and Advanced Applications ENUMATH 2015. Numerical Mathematics and Advanced Applications ENUMATH 2015 607 615 .
Benjamin Peherstorfer, Pablo Gómez & Hans-Joachim Bungartz. (2015) Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation. Advances in Computational Mathematics 41:5, pages 1365-1389.
Crossref
YONGHO CHOI, DARAE JEONG, JUNSEOK KIM, YOUNG ROCK KIM, SEUNGGYU LEE, SEUNGSUK SEO & MINHYUN YOO. (2015) ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION. Communications of the Korean Mathematical Society 30:3, pages 297-311.
Crossref
Darae Jeong, Taeyoung Ha, Myoungnyoun Kim, Jaemin Shin, In-Han Yoon & Junseok Kim. (2014) AN ADAPTIVE FINITE DIFFERENCE METHOD USING FAR-FIELD BOUNDARY CONDITIONS FOR THE BLACK-SCHOLES EQUATION. Bulletin of the Korean Mathematical Society 51:4, pages 1087-1100.
Crossref
Santtu Salmi, Jari Toivanen & Lina von Sydow. (2014) An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps. SIAM Journal on Scientific Computing 36:5, pages B817-B834.
Crossref
Hans-Joachim Bungartz, Alexander Heinecke, Dirk Pflüger & Stefanie Schraufstetter. (2012) Option pricing with a direct adaptive sparse grid approach. Journal of Computational and Applied Mathematics 236:15, pages 3741-3750.
Crossref
Alison Ramage & Lina von Sydow. (2011) A multigrid preconditioner for an adaptive Black-Scholes solver. BIT Numerical Mathematics 51:1, pages 217-233.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.