Related papers: A High Order Method for Pricing of Financial Deriv…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
In this paper, we establish even order compact numerical schemes (4th-order, 6th-order, 8th-order, 10th-order) for Riesz derivatives by using the symmetrical fractional centred difference operator. Then we apply the derived 4th-order…
We propose a fourth--order compact finite--difference (HOC--FD) scheme for the transformed Bates partial integro--differential equation (PIDE). The method employs an implicit--explicit (IMEX) Crank--Nicolson framework for local terms and…
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial…
In this paper, we propose a new set of midpoint-based high-order discretization schemes for computing straight and mixed nonlinear second derivative terms that appear in the compressible Navier-Stokes equations. Firstly, we detail a set of…
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density…
In the present work, we investigate the computational efficiency afforded by higher-order finite-element discretization of the saddle-point formulation of orbital-free density functional theory. We first investigate the robustness of viable…
We present a method for generating higher-order finite volume discretizations for Poisson's equation on Cartesian cut cell grids in two and three dimensions. The discretization is in flux-divergence form, and stencils for the flux are…
Over the last decade, it has been demonstrated that many systems in science and engineering can be modeled more accurately by fractional-order than integer-order derivatives, and many methods are developed to solve the problem of fractional…
In this paper a class of higher order finite element methods for the discretization of surface Stokes equations is studied. These methods are based on an unfitted finite element approach in which standard Taylor-Hood spaces on an underlying…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the…
Numerical methods for fractional calculus attract increasing interests due to its wide applications in various fields such as physics, mechanics, etc. In this paper, we focus on constructing high-order algorithms for Riesz derivatives,…
We present a new high order finite element method for the discretization of partial differential equations on stationary smooth surfaces which are implicitly described as the zero level of a level set function. The discretization is based…
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the…
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the proposed compact scheme, the second derivative approximation…
Motivated by the problem of solving the Einstein equations, we discuss high order finite difference discretizations of first order in time, second order in space hyperbolic systems.Particular attention is paid to the case when first order…
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and…