Pseudospectral methods for pricing options
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Publication:3182746
DOI10.1080/14697680902785292zbMath1188.91224OpenAlexW2050287957MaRDI QIDQ3182746
Publication date: 16 October 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902785292
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 (2)
High-order shifted Gegenbauer integral pseudo-spectral method for solving differential equations of Lane-Emden type ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
Cites Work
- The Pricing of Options and Corporate Liabilities
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- A penalty method for American options with jump diffusion processes
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- Quadratic Convergence for Valuing American Options Using a Penalty Method
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Spectral Expansions for Asian (Average Price) Options
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing when underlying stock returns are discontinuous
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