Limitations and improvements of standard spectral methods for pricing standard options
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Publication:531074
DOI10.1007/s12572-015-0140-3zbMath1342.91043OpenAlexW1181484598MaRDI QIDQ531074
Edgard Ngounda, Kailash C. Patidar
Publication date: 3 August 2016
Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12572-015-0140-3
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)
Uses Software
Cites Work
- Contour integral method for European options with jumps
- Exponential time differencing for stiff systems
- Numerical pricing of options using high-order compact finite difference schemes
- Front-tracking finite difference methods for the valuation of American options
- Rational interpolation through the optimal attachment of poles to the interpolating polynomial
- Derivative securities and difference methods.
- Quadratic Convergence for Valuing American Options Using a Penalty Method
- Parabolic and hyperbolic contours for computing the Bromwich integral
- A Rational Spectral Collocation Method with Adaptively Transformed Chebyshev Grid Points
- Some New Aspects of Rational Interpolation
- The Accurate Numerical Inversion of Laplace Transforms
- Exponential convergence of a linear rational interpolant between transformed Chebyshev points
- Exponential Integrators for Large Systems of Differential Equations
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- Spectral Methods in MATLAB
- Optimal exercise boundary for an American put option
- Laplace transforms and American options
- Option pricing: A simplified approach
- An exact and explicit solution for the valuation of American put options
- Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
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