B. Kleefeld
Brandenburg University of Technology
5 Papers
99 Citations
B. Kleefeld is an academic researcher from Brandenburg University of Technology. The author has contributed to research in topics: Method of lines & Runge–Kutta methods. The author has an hindex of 5, co-authored 5 publications.
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Papers
The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
TL;DR: A new second-order exponential time differencing (ETD) method based on the Cox and Matthews approach is developed and applied for pricing American options with transaction cost and is seen to be strongly stable and highly efficient for solving the nonlinear Black–Scholes model.
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Stabilized explicit Runge-Kutta methods for multi-asset American options
TL;DR: Stabilized Explicit Runge-Kutta (SERK) methods are proposed to solve multi-dimensional derivatives problems that are more complicated to price than European options and are especially well-suited for the method of lines (MOL) discretizations of parabolic PDEs.
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Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes
TL;DR: In this article, the authors proposed a new method to solve the PDE systems by using a penalty method approach and an exponential time differencing scheme, which is shown to be second order convergent.
34
SERK2v2: A new second-order stabilized explicit Runge-Kutta method for stiff problems
B. Kleefeld,Jesús Martín-Vaquero +1 more
TL;DR: A new method is developed, SERK2, based on second‐order polynomials with up to 250 stages and good stability properties, which are efficient numerical integrators of very stiff ODEs.
18
An ETD Crank‐Nicolson method for reaction‐diffusion systems
TL;DR: In this article, a novel exponential time differencing Crank-Nicolson method is developed which is stable, second-order convergent, and highly efficient for semilinear parabolic problems with smooth data.