Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method

被引：2
|
作者：
Koleva, Miglena N. [1 ]
Vulkov, Lubin G. [1 ]
机构：
[1] Univ Ruse, 8 Studentska Str, Ruse 7017, Bulgaria
来源：
LARGE-SCALE SCIENTIFIC COMPUTING (LSSC 2019) | 2020年 / 11958卷
关键词：
PARABOLIC-ODE SYSTEM; SCHEMES;
D O I：
10.1007/978-3-030-41032-2_67
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In the present paper, we construct a superconvergent fitted finite volume method (FFVM) for pricing European option with switching liquidity shocks. We investigate some basic properties of the numerical solution and establish superconvergence in maximal discrete norm. An efficient algorithm, governing the degeneracy and exponential non-linearity in the problem, is proposed. Results from various numerical experiments with different European options are provided.
引用
收藏
页码：584 / 592
页数：9
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