A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models

DOI10.1007/s10915-011-9556-5zbMath1254.91745OpenAlexW1991751874MaRDI QIDQ1930421

Jie Shen, Feng Chen, Hai-jun Yu

Publication date: 11 January 2013

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

Full work available at URL: https://doi.org/10.1007/s10915-011-9556-5

zbMATH Keywords

Laguerre functionsoption pricingunbounded domainBlack-Scholesspectral elementMerton jump diffusionspectral-Galerkin

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (13)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ Efficient and fast numerical method for pricing discrete double barrier option by projection method ⋮ Efficient space-time spectral methods for second-order problems on unbounded domains ⋮ A spectral element framework for option pricing under general exponential Lévy processes ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study ⋮ Error analysis of nonlinear time fractional mobile/immobile advection-diffusion equation with weakly singular solutions ⋮ A homotopy method with adaptive basis selection for computing multiple solutions of differential equations ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model ⋮ A pricing option approach based on backward stochastic differential equation theory ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

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