Applied Numerical Mathematics - Selected papers from the first Chilean workshop on numerical analysis of partial differential equations (WONAPDE 2004)
Numerical solution of two asset jump diffusion models for option valuation
Applied Numerical Mathematics
On coordinate transformation and grid stretching for sparse grid pricing of basket options
Journal of Computational and Applied Mathematics
Penalty methods for the numerical solution of American multi-asset option problems
Journal of Computational and Applied Mathematics
A fast high-order finite difference algorithm for pricing American options
Journal of Computational and Applied Mathematics
On the valuation of interest rate products under multi-factor HJM term-structures
Applied Numerical Mathematics
Numerical analysis and simulation of option pricing problems modeling illiquid markets
Computers & Mathematics with Applications
Option Pricing Under GARCH Processes Using PDE Methods
Operations Research
SIAM Journal on Control and Optimization
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
Journal of Computational and Applied Mathematics
A robust and accurate finite difference method for a generalized Black-Scholes equation
Journal of Computational and Applied Mathematics
Numerical solution of an optimal investment problem with proportional transaction costs
Journal of Computational and Applied Mathematics
Option pricing with a direct adaptive sparse grid approach
Journal of Computational and Applied Mathematics
Numerical analysis and computing for option pricing models in illiquid markets
Mathematical and Computer Modelling: An International Journal
High-order compact finite difference scheme for option pricing in stochastic volatility models
Journal of Computational and Applied Mathematics
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
Mathematics and Computers in Simulation
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In this paper we consider the partial differential equations approach for valuing European-style options. In order to solve the equations numerically by finite difference or finite element methods it is necessary to introduce an artificial boundary in order to make the computational domain bounded. We derive pointwise bounds for the error caused by various boundary conditions imposed on the artificial boundary. The error estimates can be used to determine a priori a suitable location for the artificial boundary in terms of a given error tolerance.