arXiv subjects

Radoslav Valkov

Publications and source records attributed to Radoslav Valkov.

2 recordsLinked to original sources

arXiv2016

Numerical study of splitting methods for American option valuation

This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments the temporal convergence behaviour of three modern splitting methods: the explicit payoff approach, the Ikonen-Toivanen approach and the Peaceman-Rachford method. In addition, the temporal accuracy of these splitting methods is compared to that of the penalty approach.

q-fin.CP↗

arXiv2012

Fitted Finite Volume Method for a Generalized Black-Scholes Equation Transformed on Finite Interval

A generalized Black-Scholes equation is considered on the semi-axis. It is transformed on the interval (0,1) in order to make the computational domain finite. The new parabolic operator degenerates at the both ends of the interval and we are forced to use the G\"{a}rding inequality rather than the classical coercivity. A fitted finite volume element space approximation is constructed. It is proved that the time \theta-weighted full discretization is uniquely solvable and positivity-preserving. Numerical experiments, performed to illustrate the usefulness of the method, are presented.

math.NA↗