Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations

DOI10.1137/16M1098267zbMath1411.91616OpenAlexW2794497155WikidataQ129780046 ScholiaQ129780046MaRDI QIDQ4579836

Pierre Patie, Marie Chazal, Ronnie Loeffen

Publication date: 10 August 2018

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

Full work available at URL: https://doi.org/10.1137/16m1098267

zbMATH Keywords

numerical methodsoption pricingnon-self-adjointeigenvalue expansionsaffine terms structure model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) 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 (4)

Smoothness of continuous state branching with immigration semigroups ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Risk‐neutral pricing techniques and examples ⋮ On the anisotropic stable JCIR process

Uses Software

• deSolve
• diffEq

Cites Work

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• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Delta, gamma and bucket hedging of interest rate derivatives
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Spectral theory of branching processes. I
• A general characterization of one factor affine term structure models

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