Ahmadi Balootaki, Parisa; Ghaziani, Reza Khoshsiar; Fardi, Mojtaba; Majid, Kajani Tavassoli Analysis of a kernel-based method for some pricing financial options. (English) Zbl 07811145 Comput. Methods Differ. Equ. 12, No. 1, 16-30 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{P. Ahmadi Balootaki} et al., Comput. Methods Differ. Equ. 12, No. 1, 16--30 (2024; Zbl 07811145) Full Text: DOI
Gulen, Seda; Sari, Murat A Fréchet derivative-based novel approach to option pricing models in illiquid markets. (English) Zbl 07787270 Math. Methods Appl. Sci. 45, No. 2, 899-913 (2022). MSC: 91G60 65M06 65F10 91G20 PDFBibTeX XMLCite \textit{S. Gulen} and \textit{M. Sari}, Math. Methods Appl. Sci. 45, No. 2, 899--913 (2022; Zbl 07787270) Full Text: DOI
Almeida, Rui M. P.; Chihaluca, Teófilo D.; Duque, José C. M. Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options. (English) Zbl 1471.91614 J. Comput. Appl. Math. 402, Article ID 113790, 17 p. (2022). MSC: 91G60 65M60 91G20 35K65 PDFBibTeX XMLCite \textit{R. M. P. Almeida} et al., J. Comput. Appl. Math. 402, Article ID 113790, 17 p. (2022; Zbl 1471.91614) Full Text: DOI
Nuugulu, S. M.; Gideon, F.; Patidar, K. C. A robust numerical solution to a time-fractional Black-Scholes equation. (English) Zbl 1494.91161 Adv. Difference Equ. 2021, Paper No. 123, 25 p. (2021). MSC: 91G20 35R11 91G60 65M06 65M12 PDFBibTeX XMLCite \textit{S. M. Nuugulu} et al., Adv. Difference Equ. 2021, Paper No. 123, 25 p. (2021; Zbl 1494.91161) Full Text: DOI
Wang, Xiang; Li, Jessica; Li, Jichun High order approximation of derivatives with applications to pricing of financial derivatives. (English) Zbl 1486.65212 J. Comput. Appl. Math. 398, Article ID 113675, 12 p. (2021). MSC: 65M70 65M06 65N35 65D12 65M12 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{X. Wang} et al., J. Comput. Appl. Math. 398, Article ID 113675, 12 p. (2021; Zbl 1486.65212) Full Text: DOI
Khalsaraei, Mohammad Mehdizadeh; Shokri, Ali; Mohammadnia, Zahra; Sedighi, Hamid Mohammad Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation. (English) Zbl 1477.91060 J. Math. 2021, Article ID 6679484, 12 p. (2021). MSC: 91G60 65M06 91G20 35Q91 PDFBibTeX XMLCite \textit{M. M. Khalsaraei} et al., J. Math. 2021, Article ID 6679484, 12 p. (2021; Zbl 1477.91060) Full Text: DOI
Prathumwan, Din; Trachoo, Kamonchat On the solution of two-dimensional fractional Black-Scholes equation for European put option. (English) Zbl 1482.91206 Adv. Difference Equ. 2020, Paper No. 146, 9 p. (2020). MSC: 91G20 91G60 26A33 35R11 PDFBibTeX XMLCite \textit{D. Prathumwan} and \textit{K. Trachoo}, Adv. Difference Equ. 2020, Paper No. 146, 9 p. (2020; Zbl 1482.91206) Full Text: DOI
Saratha, S. R.; Sai Sundara Krishnan, G.; Bagyalakshmi, M.; Lim, Chee Peng Solving Black-Scholes equations using fractional generalized homotopy analysis method. (English) Zbl 1463.91202 Comput. Appl. Math. 39, No. 4, Paper No. 262, 35 p. (2020). MSC: 91G60 35R11 35Q91 65M99 91G20 PDFBibTeX XMLCite \textit{S. R. Saratha} et al., Comput. Appl. Math. 39, No. 4, Paper No. 262, 35 p. (2020; Zbl 1463.91202) Full Text: DOI
Wang, Song Numerical solution of an obstacle problem with interval coefficients. (English) Zbl 07199001 Numer. Algebra Control Optim. 10, No. 1, 23-38 (2020). MSC: 65K15 90C70 65G99 90C29 PDFBibTeX XMLCite \textit{S. Wang}, Numer. Algebra Control Optim. 10, No. 1, 23--38 (2020; Zbl 07199001) Full Text: DOI
Ahmadian, D.; Farkhondeh Rouz, O.; Ivaz, K.; Safdari-Vaighani, A. Robust numerical algorithm to the European option with illiquid markets. (English) Zbl 1433.91191 Appl. Math. Comput. 366, Article ID 124693, 13 p. (2020). MSC: 91G60 35Q91 65M12 91G20 PDFBibTeX XMLCite \textit{D. Ahmadian} et al., Appl. Math. Comput. 366, Article ID 124693, 13 p. (2020; Zbl 1433.91191) Full Text: DOI
Abounouh, Mostafa; Al Moatassime, Hassan; Driouch, Aicha; Goubet, Olivier A constructive method for convex solutions of a class of nonlinear Black-Scholes equations. (English) Zbl 1420.35141 Adv. Nonlinear Anal. 9, 654-664 (2020). MSC: 35K65 35K55 35Q91 91G20 PDFBibTeX XMLCite \textit{M. Abounouh} et al., Adv. Nonlinear Anal. 9, 654--664 (2020; Zbl 1420.35141) Full Text: DOI
Zhao, Jian-Xun; Wang, Song A power penalty approach to a discretized obstacle problem with nonlinear constraints. (English) Zbl 1431.90154 Optim. Lett. 13, No. 7, 1483-1504 (2019). MSC: 90C30 90C33 PDFBibTeX XMLCite \textit{J.-X. Zhao} and \textit{S. Wang}, Optim. Lett. 13, No. 7, 1483--1504 (2019; Zbl 1431.90154) Full Text: DOI
Li, Nan; Wang, Song Pricing options on investment project expansions under commodity price uncertainty. (English) Zbl 1415.65195 J. Ind. Manag. Optim. 15, No. 1, 261-273 (2019). MSC: 65M06 91G20 91G60 PDFBibTeX XMLCite \textit{N. Li} and \textit{S. Wang}, J. Ind. Manag. Optim. 15, No. 1, 261--273 (2019; Zbl 1415.65195) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. A unified numerical approach for a large class of nonlinear Black-Scholes models. (English) Zbl 1476.91219 Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 11th international conference, LSSC 2017, Sozopol, Bulgaria, June 5–9, 2017. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 10665, 583-591 (2018). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 10665, 583--591 (2018; Zbl 1476.91219) Full Text: DOI
Wang, Song An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem. (English) Zbl 1480.90242 Appl. Math. Modelling 58, 217-228 (2018). MSC: 90C33 90C51 PDFBibTeX XMLCite \textit{S. Wang}, Appl. Math. Modelling 58, 217--228 (2018; Zbl 1480.90242) Full Text: DOI Link
Sawangtong, Panumart; Trachoo, Kamonchat; Sawangtong, Wannika; Wiwattanapataphee, Benchawan The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense. (English) Zbl 1418.91536 Mathematics 6, No. 8, Paper No. 129, 14 p. (2018). MSC: 91G20 26A33 44A10 PDFBibTeX XMLCite \textit{P. Sawangtong} et al., Mathematics 6, No. 8, Paper No. 129, 14 p. (2018; Zbl 1418.91536) Full Text: DOI
Wang, Song; Zhang, Kai An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering. (English) Zbl 1401.90242 Optim. Lett. 12, No. 6, 1161-1178 (2018). MSC: 90C33 90C15 90C05 PDFBibTeX XMLCite \textit{S. Wang} and \textit{K. Zhang}, Optim. Lett. 12, No. 6, 1161--1178 (2018; Zbl 1401.90242) Full Text: DOI Link
Lei, Siu-Long; Wang, Wenfei; Chen, Xu; Ding, Deng A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models. (English) Zbl 1406.91484 J. Sci. Comput. 75, No. 3, 1633-1655 (2018). MSC: 91G60 26A33 65F08 65M06 91G20 60G40 60G51 65T50 PDFBibTeX XMLCite \textit{S.-L. Lei} et al., J. Sci. Comput. 75, No. 3, 1633--1655 (2018; Zbl 1406.91484) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. Fast computational approach to the delta Greek of non-linear Black-Scholes equations. (English) Zbl 1432.91139 J. Comput. Appl. Math. 340, 508-522 (2018). MSC: 91G60 65M06 91G20 65M12 35Q91 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, J. Comput. Appl. Math. 340, 508--522 (2018; Zbl 1432.91139) Full Text: DOI
Lesmana, Donny Citra; Wang, Song A numerical scheme for pricing American options with transaction costs under a jump diffusion process. (English) Zbl 1422.91768 J. Ind. Manag. Optim. 13, No. 4, 1793-1813 (2017). MSC: 91G60 65K15 65M06 60J75 91G20 60G40 PDFBibTeX XMLCite \textit{D. C. Lesmana} and \textit{S. Wang}, J. Ind. Manag. Optim. 13, No. 4, 1793--1813 (2017; Zbl 1422.91768) Full Text: DOI
Chen, Xu; Wang, Wenfei; Ding, Deng; Lei, Siu-Long A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. (English) Zbl 1372.91115 Comput. Math. Appl. 73, No. 9, 1932-1944 (2017). MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{X. Chen} et al., Comput. Math. Appl. 73, No. 9, 1932--1944 (2017; Zbl 1372.91115) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. Computation of delta Greek for non-linear models in mathematical finance. (English) Zbl 1367.91195 Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 430-438 (2017). MSC: 91G60 65H10 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 10187, 430--438 (2017; Zbl 1367.91195) Full Text: DOI
Chen, Wen; Wang, Song A 2nd-order FDM for a 2D fractional Black-Scholes equation. (English) Zbl 1367.91191 Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 46-57 (2017). MSC: 91G60 65M06 65M12 91G20 35R11 35Q91 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, Lect. Notes Comput. Sci. 10187, 46--57 (2017; Zbl 1367.91191) Full Text: DOI
Egorova, V. N.; Tan, S.-H.; Lai, C.-H.; Company, R.; Jódar, L. Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. (English) Zbl 1364.91151 Int. J. Comput. Math. 94, No. 2, 345-362 (2017). MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{V. N. Egorova} et al., Int. J. Comput. Math. 94, No. 2, 345--362 (2017; Zbl 1364.91151) Full Text: DOI Link
Koleva, Miglena N.; Vulkov, Lubin G. A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term. (English) Zbl 1364.35376 J. Comput. Appl. Math. 318, 538-549 (2017). Reviewer: Valery V. Karachik (Chelyabinsk) MSC: 35Q91 35K58 91G60 91G10 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, J. Comput. Appl. Math. 318, 538--549 (2017; Zbl 1364.35376) Full Text: DOI
Howk, Cory L. A class of efficient quadrature-based predictor-corrector methods for solving nonlinear systems. (English) Zbl 1410.65162 Appl. Math. Comput. 276, 394-406 (2016). MSC: 65H05 PDFBibTeX XMLCite \textit{C. L. Howk}, Appl. Math. Comput. 276, 394--406 (2016; Zbl 1410.65162) Full Text: DOI
Lesmana, Donny Citra; Wang, Song Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs. (English) Zbl 1328.91275 Appl. Math. Comput. 251, 318-330 (2015). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{D. C. Lesmana} and \textit{S. Wang}, Appl. Math. Comput. 251, 318--330 (2015; Zbl 1328.91275) Full Text: DOI
Wang, Song A penalty approach to a discretized double obstacle problem with derivative constraints. (English) Zbl 1354.90143 J. Glob. Optim. 62, No. 4, 775-790 (2015). MSC: 90C30 90C33 PDFBibTeX XMLCite \textit{S. Wang}, J. Glob. Optim. 62, No. 4, 775--790 (2015; Zbl 1354.90143) Full Text: DOI Link
Wang, Song; Li, Wen Recent advances in numerical solution of HJB equations arising in option pricing. (English) Zbl 1360.91155 Dimov, Ivan (ed.) et al., Finite difference methods, theory and applications. 6th international conference, FDM 2014, Lozenetz, Bulgaria, June 18–23, 2014. Revised selected papers. Cham: Springer (ISBN 978-3-319-20238-9/pbk; 978-3-319-20239-6/ebook). Lecture Notes in Computer Science 9045, 104-116 (2015). MSC: 91G60 65K15 65M06 91G20 PDFBibTeX XMLCite \textit{S. Wang} and \textit{W. Li}, Lect. Notes Comput. Sci. 9045, 104--116 (2015; Zbl 1360.91155) Full Text: DOI
Chen, Wen; Wang, Song A finite difference method for pricing European and American options under a geometric Lévy process. (English) Zbl 1305.91239 J. Ind. Manag. Optim. 11, No. 1, 241-264 (2015). MSC: 91G60 91G20 65M06 65K15 60G51 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, J. Ind. Manag. Optim. 11, No. 1, 241--264 (2015; Zbl 1305.91239) Full Text: DOI
Li, Wen; Wang, Song A numerical method for pricing European options with proportional transaction costs. (English) Zbl 1298.91188 J. Glob. Optim. 60, No. 1, 59-78 (2014). MSC: 91G60 91G20 90C26 65M06 PDFBibTeX XMLCite \textit{W. Li} and \textit{S. Wang}, J. Glob. Optim. 60, No. 1, 59--78 (2014; Zbl 1298.91188) Full Text: DOI