A dimension reduction Shannon-wavelet based method for option pricing

DOI10.1007/s10915-017-0556-yzbMath1395.91496OpenAlexW2755328753MaRDI QIDQ1635866

Luis Ortiz-Gracia, Duy Minh Dang

Publication date: 1 June 2018

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/122335

zbMATH Keywords

dimension reductionjump diffusionsShannon wavelets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Computation of market risk measures with stochastic liquidity horizon ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations

Uses Software

• Sinc-Pack

Cites Work

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