A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

Mishra, Chittaranjan; Lu, Xiaoping

doi:10.1080/00207160.2019.1615619

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Mcs Scheme For a Multidimensional Diffusion Equation With Mi...1

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Cited by 6 publications

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“…As one of the most promising ADI schemes introduced by In't Hou and Welfert [6], the Modified Craig-Sneyd (MCS) scheme is known for its efficiency.…”

Section: Mcs Scheme For a Multidimensional Diffusion Equation With Mi...mentioning

confidence: 99%

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

Liu,

Zhu,

Zhou

2023

J. Phys.: Conf. Ser.

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The time-dependent multidimensional diffusion equations with mixed derivative terms have been widely used in mathematics. Due to the mixed derivative terms, it is difficult to solve this pattern of multidimensional diffusion equations. The Modified Craig-Sneyd scheme (MCS), which has been applied to value the power derivatives, is one of the most promising methods for solving such equations. Therefore, it is of great importance to study its stability. The unconditional stability problem of MCS for a multidimensional diffusion equation with mixed derivative terms is investigated by taking into account the sizes. A new sufficient condition, necessary condition, and equivalence condition on the parameter of the MCS scheme for unconditional stability are proposed in case of the two and three-dimensional diffusion equations.

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“…As one of the most promising ADI schemes introduced by In't Hou and Welfert [6], the Modified Craig-Sneyd (MCS) scheme is known for its efficiency.…”

Section: Mcs Scheme For a Multidimensional Diffusion Equation With Mi...mentioning

confidence: 99%

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

Liu,

Zhu,

Zhou

2023

J. Phys.: Conf. Ser.

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Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU

Ghosh

Mishra

2021

Applied Mathematics and Computation

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Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

Zhu

2020

Computers & Mathematics with Applications

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A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

Cited by 6 publications

References 25 publications

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

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