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IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
dc.contributor.author | López Salas, José Germán | |
dc.contributor.author | Suárez Taboada, María | |
dc.contributor.author | Castro Díaz, Manuel Jesús | |
dc.contributor.author | Ferreiro Ferreiro, Ana María | |
dc.contributor.author | García Rodríguez, José Antonio | |
dc.date.accessioned | 2024-07-22T12:11:34Z | |
dc.date.issued | 2024-06-06 | |
dc.identifier.citation | López-Salas, J.G., Suárez-Taboada, M., Castro, M.J., Ferreiro-Ferreiro, A.M., García-Rodríguez, J.A. (2024). IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing. In: Parés, C., Castro, M.J., Morales de Luna, T., Muñoz-Ruiz, M.L. (eds) Hyperbolic Problems: Theory, Numerics, Applications. Volume II. HYP 2022. SEMA SIMAI Springer Series, vol 35. Springer, Cham. https://doi.org/10.1007/978-3-031-55264-9_36 | es_ES |
dc.identifier.isbn | 978-3-031-55263-2 | |
dc.identifier.isbn | 978-3-031-55266-3 | |
dc.identifier.isbn | 978-3-031-55264-9 | |
dc.identifier.issn | 2199-3041 | |
dc.identifier.issn | 2199-305X | |
dc.identifier.uri | http://hdl.handle.net/2183/38189 | |
dc.description | The conference was held in Málaga, Spain, June 20-24, 2022. | es_ES |
dc.description | ©2024 This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/978-3-031-55264-9_36 | es_ES |
dc.description.abstract | [Abstract]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and advection terms. The spatial semi-discretization of the advection is carried out by combining finite volume methods with 2nd order state reconstructions; while the diffusive terms are discretized using second order finite differences. The time integration is performed by means of IMEX-RK time integrators: the advection is treated explicitly, and the diffusion, implicitly. The obtained numerical schemes have several advantages: they are computationally very efficient, thanks to the implicit discretization of the diffusion in the IMEX-RK time integrators, that allows to overcome the strict time step restriction; they yield second order accuracy for even nonlinear problems and with non-regular initial conditions; and they can be extended to higher order. | es_ES |
dc.description.sponsorship | M. Castro has has been partially supported by the grant PDC2022-133663-C21 funded by MCIN/AEI/10.13039/501100011033 and “European Union NextGenerationEU/ PRTR” and the grant PID2022-137637NB-C21 funded by MCIN/AEI/- 10.13039/50110001103 and “ERDF A way of making Europe”. The other authors’ research has been funded by the Spanish MINECO under research project number PDI2019-108584RB-I00 and by the grant ED431G 2019/01 of CITIC, funded by Consellería de Educación,Universidade e Formación Profesional of Xunta de Galicia and FEDER. | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Springer Nature | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PDC2022-133663-C21/ES/DESARROLLO DE HERRAMIENTAS PARA LA EVALUACION DE RIEGOS, ALERTA TEMPRANA Y COMPUTACION EFICIENTE PARA MAREMOTOS, FLUJOS DE LAVA Y DESLIZAMIENTOS I | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-137637NB-C21/ES/LEYES DE EQUILIBRIO NO LINEALES PARA SIMULACION EN MECANICA DE FLUIDOS: MODELIZACION, METODOS NUMERICOS, ANALISIS, IMPLEMENTACION EFICIENTE Y APLICACIONES I | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA/ | es_ES |
dc.relation.uri | https://doi.org/10.1007/978-3-031-55264-9_36 | es_ES |
dc.subject | Finite volume | es_ES |
dc.subject | IMEX | es_ES |
dc.subject | Mathematical finance | es_ES |
dc.title | IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing | es_ES |
dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
dc.rights.access | info:eu-repo/semantics/embargoedAccess | es_ES |
dc.date.embargoEndDate | 2025-06-06 | es_ES |
dc.date.embargoLift | 2025-06-06 | |
UDC.journalTitle | Hyperbolic Problems: Theory, Numerics, Applications. Volume II | es_ES |
UDC.volume | 35 | es_ES |
UDC.conferenceTitle | XVI International Conference on Hyperbolic Problems: Theory, Numerics, Applications (HYP2022) | es_ES |