Displaying similar documents to “On pricing American and Asian options with PDE methods.”

Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Rafael Company, Lucas Jódar, José-Ramón Pintos (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

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This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of...

DG method for the numerical pricing of two-asset European-style Asian options with fixed strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

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The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution...

Numerical study of acoustic multiperforated plates

Abderrahmane Bendali, M’Barek Fares, Sophie Laurens, Sébastien Tordeux (2012)

ESAIM: Proceedings

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It is rather classical to model multiperforated plates by approximate impedance boundary conditions. In this article we would like to compare an instance of such boundary conditions obtained through a matched asymptotic expansions technique to direct numerical computations based on a boundary element formulation in the case of linear acoustic.

Convergence of a numerical scheme for a nonlinear oblique derivative boundary value problem

Florian Mehats (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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We present here a discretization of a nonlinear oblique derivative boundary value problem for the heat equation in dimension two. This finite difference scheme takes advantages of the structure of the boundary condition, which can be reinterpreted as a Burgers equation in the space variables. This enables to obtain an energy estimate and to prove the convergence of the scheme. We also provide some numerical simulations of this problem and a numerical study of the stability of the scheme,...