Publication
Title
Numerical dolution of a two-asset option valuation PDE by ADI finite difference discretization
Author
Abstract
The numerical valuation of European two-asset options is considered under the Black-Scholes model. A numerical method is discussed based on FD discretization of the pertinent PDE on nonuniform grids and subsequent discretization in time by ADI schemes. We investigate stability and convergence experimentally for both the option value function and the Cross Gamma function, which is important to nonlinear extensions of the model, beyond the standard Black-Scholes framework.
Language
English
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
APPLIED MATHEMATICS 2014 (ICNAAM-2014)
Source (book)
International Conference on Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 22-28, 2014, Rhodes, GREECE
Publication
Melville : Amer inst physics, 2015
ISBN
978-0-7354-1287-3
Volume/pages
1648(2015), 4 p.
ISI
000355339700007
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 02.07.2015
Last edited 22.07.2017
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