Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations

DOI10.1137/09077271XzbMath1198.91230MaRDI QIDQ3580034

Peter Hepperger

Publication date: 11 August 2010

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

zbMATH Keywords

European optionspartial integro-differential equationsnumerical pricingdimension reduction methodGalerkin time stepping methodHilbert space-valued jump-diffusion models

Mathematics Subject Classification ID

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

Related Items (7)

Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Hedging electricity swaptions using partial integro-differential equations ⋮ NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION ⋮ The forward dynamics in energy markets – infinite-dimensional modelling and simulation ⋮ Explicit formula for evolution semigroup for diffusion in Hilbert space

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