On the numerical modelling and solution of multi-asset Black-Scholes equation based on Generic Approximate Sparse Inverse Preconditioning

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dc.contributor.author Grylonakis, E-N.G.
dc.contributor.author Gravvanis, George A.
dc.contributor.author Filelis-Papadopoulos, Christos K.
dc.date.accessioned 2014-10-11T08:11:37Z
dc.date.available 2014-10-11T08:11:37Z
dc.date.issued 2014-09-02
dc.identifier.isbn 978-960-8475-22-9
dc.identifier.uri http://lib.amcl.tuc.gr/handle/triton/42
dc.description.abstract In this paper, we consider the numerical solution of multi-asset Black-Scholes equation for the pricing of options. For the space discretization a fourth order finite difference scheme combined with Richardson’s extrapolation method was used, while for the time integration high order Backward Differences along with fourth order Gauss-Legendre Runge-Kutta scheme was applied. The resulting sparse linear system is efficiently solved by Preconditioned Induced Dimension Reduction method in conjunction with Generic Approximate Sparse Inverses, based on approximate inverse sparsity patterns. Numerical results indicating the applicability and efficiency of the proposed scheme are presented. en_US
dc.language.iso en en_US
dc.publisher AMCL/TUC en_US
dc.subject Multi-Asset Black-Scholes equation en_US
dc.subject high order finite difference schemes en_US
dc.subject sparse linear systems en_US
dc.subject generic approximate sparse inverses en_US
dc.subject preconditioned induced dimension reduction method en_US
dc.title On the numerical modelling and solution of multi-asset Black-Scholes equation based on Generic Approximate Sparse Inverse Preconditioning en_US
dc.type Article en_US


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  • NumAn2014 Proceedings
    Proceedings of the 6th International Conference on Numerical Analysis (NumAn2014)

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