A Reduced Basis for Option Pricing

DOI10.1137/10079851XzbMath1227.91033OpenAlexW3123609652MaRDI QIDQ2996526

Rama Cont, Olivier Pironneau, Nicolas Lantos

Publication date: 2 May 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/10079851x

zbMATH Keywords

PDEGalerkin methodoption pricingintegro-differential equationjump-diffusionreduced basisMerton modelPIDE

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Numerical methods for partial differential equations, boundary value problems (65N99)

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