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Exponential Rosenbrock-Type Methods

✍ Scribed by Hochbruck, Marlis; Ostermann, Alexander; Schweitzer, Julia

Book ID
118184670
Publisher
Society for Industrial and Applied Mathematics
Year
2009
Tongue
English
Weight
432 KB
Volume
47
Category
Article
ISSN
0036-1429

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πŸ“œ SIMILAR VOLUMES

Exponential Rosenbrock integrators for o
Exponential Rosenbrock integrators for option pricing
✍ Muhammad Asif Gondal πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 284 KB

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