dc.contributor.author | Koffi, Stephane Rock | |
dc.contributor.author | Tambue, Antoine | |
dc.date.accessioned | 2022-01-26T09:35:55Z | |
dc.date.available | 2022-01-26T09:35:55Z | |
dc.date.created | 2021-07-27T13:36:28Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Koffi, R. S., & Tambue, A. (2021). A Fitted L-Multi-Point Flux Approximation Method for Pricing Options. Computational Economics. | en_US |
dc.identifier.issn | 0927-7099 | |
dc.identifier.uri | https://hdl.handle.net/11250/2839384 | |
dc.description.abstract | In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for space discretization of the diffusion term of Black–Scholes operator. The degeneracy of the Black-Scholes operator is tackled using the fitted finite volume method. This combination of fitted finite volume method and L-MPFA method coupled to upwind methods gives us a novel scheme, called the fitted L-MPFA method. Numerical experiments show the accuracy of the novel fitted L-MPFA method comparing to well known schemes for pricing options. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Springer | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | A fitted L-Multi-point Flux Approximation method for pricing options | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.rights.holder | © The Author(s) 2021 | en_US |
dc.subject.nsi | VDP::Matematikk og Naturvitenskap: 400 | en_US |
dc.source.journal | Computational Economics | en_US |
dc.identifier.doi | 10.1007/s10614-021-10161-2 | |
dc.identifier.cristin | 1922781 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |