Alternating Direction Explicit Method for a Nonlinear Model in Finance

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Mashayekhi Sima

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Advances in Mathematical Finance and Applications Year:2021 | Volume:6 | Issue:4 Page(s): 745-755

Download Full-Text

View:

Download:

Cites:

Information Journal Paper

Title

Alternating Direction Explicit Method for a Nonlinear Model in Finance

Author(s)

Mashayekhi Sima | Issue Writer Certificate

Keywords

Black-Scholes Model

Barles and Soner Model

Alternating Direction Explicit Methods

Finite Difference Methods

Abstract

In this article, at first standard linear Black-Scholes Model and then some nonlinear Black-Scholes Models will be considered and thereupon alternating direction explicit (ADE) method is applied firstly for solving the standard Black-Scholes Model and then for Barles and Soner Model which is one of the most complete and comprehensive nonlinear Black-Scholes Models. Furthermore, the stability of this method has been considered and its accuracy will be compared with other numerical methods such as Finite Difference Methods. Since in solving nonlinear Black-Scholes Models by the ADE methods, we need to solve only some scalar nonlinear equations instead of a full nonlinear system of equations that we should solve in implicit methods, so this method can be a suitable choice for solving such models.

Multimedia

No record.

Cites

No record.

References

No record.

Cite

APA: Copy

Mashayekhi, Sima. (2021). Alternating Direction Explicit Method for a Nonlinear Model in Finance. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, 6(4), 745-755. SID. https://sid.ir/paper/1032644/en

Vancouver: Copy

Mashayekhi Sima. Alternating Direction Explicit Method for a Nonlinear Model in Finance. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS[Internet]. 2021;6(4):745-755. Available from: https://sid.ir/paper/1032644/en

IEEE: Copy

Sima Mashayekhi, “Alternating Direction Explicit Method for a Nonlinear Model in Finance,” ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, vol. 6, no. 4, pp. 745–755, 2021, [Online]. Available: https://sid.ir/paper/1032644/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops