Title
Numerical dolution of a two-asset option valuation PDE by ADI finite difference discretization Numerical dolution of a two-asset option valuation PDE by ADI finite difference discretization
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
conferenceObject
Publication
Melville :Amer inst physics ,
Subject
Mathematics
Physics
Source (journal)
APPLIED MATHEMATICS 2014 (ICNAAM-2014)
AIP conference proceedings / American Institute of Physics. - New York
Source (book)
International Conference on Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 22-28, 2014, Rhodes, GREECE
Volume/pages
1648(2015) , 4 p.
ISSN
0094-243X
ISBN
978-0-7354-1287-3
ISI
000355339700007
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
E-info
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http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000355339700007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=ef845e08c439e550330acc77c7d2d848
Full text (open access)
https://repository.uantwerpen.be/docman/irua/711813/126448.pdf
Handle