Polynomial chaos for simulating random volatilities

DOI10.1016/j.matcom.2009.05.008zbMath1180.91312OpenAlexW2048263845MaRDI QIDQ1037788

Roland Pulch, Cathrin Van Emmerich

Publication date: 16 November 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.05.008

zbMATH Keywords

parabolic equationmethod of linesvolatilityoption pricepolynomial chaos

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Related Items (8)

Option pricing with Legendre polynomials ⋮ A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing ⋮ Further properties of random orthogonal matrix simulation ⋮ The Helmholtz equation with uncertainties in the wavenumber ⋮ Modelling and simulation of autonomous oscillators with random parameters ⋮ Computation of the effects of uncertainty in volatility on option pricing and hedging ⋮ Generalized polynomial chaos for nonlinear random delay differential equations ⋮ Generalised polynomial chaos for a class of linear conservation laws

Uses Software

• Matlab
• RODAS

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A new class of random number generators
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Solving Ordinary Differential Equations I
• Polynomial chaos for the approximation of uncertainties: Chances and limits
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Stochastic differential equations. An introduction with applications.

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