A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets

DOI10.1007/s10915-009-9270-8zbMath1203.91305OpenAlexW1986334186MaRDI QIDQ618451

Wuming Zhu, David A. Kopriva

Publication date: 16 January 2011

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-009-9270-8

zbMATH Keywords

Black-Scholesspectral elementmultiple asset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (9)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ A Legendre spectral element method on a large spatial domain to solve the predator-prey system modeling interacting populations ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ A spectral element approximation to price European options with one asset and stochastic volatility ⋮ Spectral element method for parabolic initial value problem with non-smooth data: analysis and application ⋮ A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models ⋮ A spectral element method using the modal basis and its application in solving second‐order nonlinear partial differential equations ⋮ An averaged vector field Legendre spectral element method for the nonlinear Schrödinger equation ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

Cites Work

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• Construction of curvilinear co-ordinate systems and applications to mesh generation
• Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
• Some mathematical results in the pricing of American options
• Spectral Methods
• Spectral Methods

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