A finite volume approach for contingent claims valuation

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Subfields: Finance

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Penalty methods for the numerical solution of American multi-asset option problems (2008, unknown): “, [11,27,6,26,4,5].”
A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield (2006, background): “Examples of numerical approaches include the finite element approach (see [1]), the finite volume approach (see [19]) and the finite difference approach (see [16]).”
Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “[53, 54, 19] to produce a similarly quadratically convergent method.”
A numerical PDE approach for pricing callable bonds (2001, methodology): “Note that we used the same interest rate domains as in Table 2.”
Quadratic Convergence for Valuing American Options Using a Penalty Method (2001, methodology): “It is a topic of further research to extend the convergence results in this paper to the more general problems described in [37, 38 ].”
Numerical convergence properties of option pricing PDEs with uncertain volatility (2003, background): “Note that a finite volume approach as in Zvan et al. (2001) would lead to the same form of discretization as equation (3.1).”