Related papers: Explicit RKF-Compact Scheme for Pricing Regime Swi…
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
In a previous paper, a technique was suggested to avoid order reduction with any explicit exponential Runge-Kutta method when integrating initial boundary value nonlinear problems with time-dependent boundary conditions. In this paper, we…
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic…
We develop error-control based time integration algorithms for compressible fluid dynamics (CFD) applications and show that they are efficient and robust in both the accuracy-limited and stability-limited regime. Focusing on discontinuous…
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift,…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Consider a discrete finite-dimensional, Markovian market model. In this setting, discretely sampled American options can be priced using the so-called ``non-recombining'' tree algorithm. By successively increasing the number of exercise…
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expectation. Exploiting an approximation by switching systems,…
In this paper we present two parallel Monte Carlo based algorithms for pricing multi--dimensional Bermudan/American options. First approach relies on computation of the optimal exercise boundary while the second relies on classification of…
The solution of option-pricing problems may turn out to be computationally demanding due to non-linear and path-dependent payoffs, the high dimensionality arising from multiple underlying assets, and sophisticated models of price dynamics.…
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In…
Many problems in science and engineering require an efficient numerical approximation of integrals or solutions to differential equations. For systems with rapidly changing dynamics, an equidistant discretization is often inadvisable as it…
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products. We pursue the RL avenue in order to learn the optimal action-value function of the underlying stopping problem. In addition to…
This work proposes and analyzes a fully discrete numerical scheme for solving the Landau-Lifshitz-Gilbert (LLG) equation, which achieves fourth-order spatial accuracy and third-order temporal accuracy.Spatially, fourth-order accuracy is…
Scale-resolving simulations of high Reynolds number incompressible flows are often limited by the Courant-Friedrichs-Lewy (CFL) stability restriction imposed by explicit time-stepping schemes, resulting in small time step sizes and long…
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random,…
A new Runge-Kutta-Nystr\"om method, with phase-lag of order infinity, for the integration of second-order periodic initial-value problems is developed in this paper. The new method is based on the Dormand and Prince Runge-Kutta-Nystr\"om…
While implicit Runge--Kutta methods possess high order accuracy and important stability properties, implementation difficulties and the high expense of solving the coupled algebraic system at each time step are frequently cited as…
This paper introduces a novel time-freezing reformulation and numerical methods for optimal control of complementarity Lagrangian systems (CLS) with state jumps. We cover the difficult case when the system evolves on the boundary of the…