Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
DOI10.3934/dcdss.2019040zbMath1418.91601OpenAlexW2890364094MaRDI QIDQ2319611
Publication date: 20 August 2019
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2019040
domain decompositionspectral methodspartial integro-differential equationClenshaw Curtis quadratureinfinite activity Lévy processesshifted Laguerre Gauss quadrature
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by rational functions (41A20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Approximation by polynomials (41A10)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Contour integral method for European options with jumps
- Linear barycentric rational quadrature
- The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- A multidomain spectral method for solving elliptic equations
- Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Spectral methods for problems in complex geometries
- Rational interpolation through the optimal attachment of poles to the interpolating polynomial
- Completion of a Lévy market by power-jump assets
- Optimal portfolios for logarithmic utility.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
- The Carathéodory–Fejér Method for Real Rational Approximation
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Exponential convergence of a linear rational interpolant between transformed Chebyshev points
- Generation of Pseudospectral Differentiation Matrices I
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Lévy processes, polynomials and martingales
- Spectral Methods in MATLAB
- Barycentric Lagrange Interpolation
- Robust numerical methods for contingent claims under jump diffusion processes
- On the Gibbs Phenomenon IV: Recovering Exponential Accuracy in a Subinterval from a Gegenbauer Partial Sum of a Piecewise Analytic Function
- Fourth-Order Time-Stepping for Stiff PDEs
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Accurate Evaluation of European and American Options Under the CGMY Process
- Is Gauss Quadrature Better than Clenshaw–Curtis?
- Option pricing when underlying stock returns are discontinuous
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
This page was built for publication: Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
