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Exponential integrators

โœ Scribed by Hochbruck, Marlis (author);Ostermann, Alexander (author)

Book ID
111656097
Publisher
Cambridge University Press
Year
2010
Tongue
English
Weight
456 KB
Volume
19
Category
Article
ISSN
0962-4929

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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