Option pricing with orthogonal polynomial expansions

DOI10.1111/mafi.12226OpenAlexW2962814363MaRDI QIDQ5109983

Damir Filipović, Damien Ackerer

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.09193

zbMATH Keywords

orthogonal polynomialsstochastic volatilityoption pricingparameter sensitivityGreekspolynomial diffusion models

Mathematics Subject Classification ID

Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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PRICING ASIAN OPTIONS WITH CORRELATORS ⋮ DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ A quantum mechanics for interest rate derivatives markets ⋮ Jacobi stochastic volatility factor for the LIBOR market model ⋮ The Heston stochastic volatility model has a boundary trace at zero volatility ⋮ Polynomial Jump-Diffusion Models ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ Asian option pricing with orthogonal polynomials ⋮ Correlators of Polynomial Processes

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