Article ID Journal Published Year Pages File Type
482890 European Journal of Operational Research 2006 14 Pages PDF
Abstract

Implicit–explicit Runge–Kutta methods are investigated for application to financial derivatives pricing models in the partial differential equations approach. The methods are showed to be an alternative to other existing procedures for the numerical valuation of American type contracts. We follow the method of lines in order to have a numerical method that can be used with a variety of state variable discretizations including finite elements, finite differences and finite volume methods. Some numerical experiments are presented.

Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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