6533b858fe1ef96bd12b5806

RESEARCH PRODUCT

Application of Operator Splitting Methods in Finance

Jari ToivanenJari ToivanenKarel In 'T Hout

subject

FinanceMathematical optimizationPartial differential equationbusiness.industry010103 numerical & computational mathematicsType (model theory)01 natural sciencesLinear complementarity problem010101 applied mathematicsOperator splittingValuation of optionsFair valueJump modelEconomicsAsset (economics)0101 mathematicsbusinessMathematical economics

description

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems.

yearjournalcountryeditionlanguage
2016-01-01
https://doi.org/10.1007/978-3-319-41589-5_16