Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems

2015 ◽  
Author(s):  
Peter Schober ◽  
Philipp Schrrder ◽  
Gabriel Wittum
Keyword(s):  
Option Pricing ◽  
High Dimensional ◽  
Parallel Solution ◽  
Solution Methods ◽  
Pricing Problems

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems

scholarly journals Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

2015 ◽  
Vol 2015 ◽  
pp. 1-10
Author(s):  
M. Fakharany ◽  
R. Company ◽  
L. Jódar
Keyword(s):  
Option Pricing ◽  
Numerical Solution ◽  
Numerical Solutions ◽  
Stable Process ◽  
Integration Formula ◽  
Pricing Models ◽  
Integral Term ◽  
Pricing Problems ◽  
Stability And Consistency ◽  
Partial Integrodifferential Equation

This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.

scholarly journals A mixed derivative terms removing method in multi-asset option pricing problems

2016 ◽  
Vol 60 ◽  
pp. 108-114 ◽  
Author(s):  
R. Company ◽  
V.N. Egorova ◽  
L. Jódar ◽  
F. Soleymani
Keyword(s):  
Option Pricing ◽  
Mixed Derivative ◽  
Pricing Problems

A Variational Framework for Solution Method Developments in Structural Mechanics

1998 ◽  
Vol 65 (1) ◽  
pp. 242-249 ◽  
Author(s):  
K. C. Park ◽  
C. A. Felippa
Keyword(s):  
Rigid Body ◽  
Virtual Work ◽  
Full Rank ◽  
Structural Mechanics ◽  
Direct Construction ◽  
Parallel Solution ◽  
Variational Functional ◽  
Solution Algorithms ◽  
Variational Framework ◽  
Solution Methods

We present a variational framework for the development of partitioned solution algorithms in structural mechanics. This framework is obtained by decomposing the discrete virtual work of an assembled structure into that of partitioned substructures in terms of partitioned substructural deformations, substructural rigid-body displacements and interface forces on substructural partition boundaries. New aspects of the formulation are: the explicit use of substructural rigid-body mode amplitudes as independent variables and direct construction of rank-sufficient interface compatibility conditions. The resulting discrete variational functional is shown to be variation-ally complete, thus yielding a full-rank solution matrix. Four specializations of the present framework are discussed. Two of them have been successfully applied to parallel solution methods and to system identification. The potential of the two untested specializations is briefly discussed.

Tri-Diagonal Preconditioner for Toeplitz Systems from Finance

2011 ◽  
Vol 1 (1) ◽  
pp. 82-88
Author(s):  
Hong-Kui Pang ◽  
Ying-Ying Zhang ◽  
Xiao-Qing Jin
Keyword(s):  
Differential Equation ◽  
Theoretical Analysis ◽  
Convergence Rate ◽  
Option Pricing ◽  
Gradient Method ◽  
Preconditioned Conjugate Gradient ◽  
Superlinear Convergence Rate ◽  
Pricing Problems ◽  
Toeplitz Systems ◽  
Toeplitz System

AbstractWe consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis.

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