Calibration of options on a reduced basis

DOI10.1016/j.cam.2008.10.070zbMath1173.91398OpenAlexW2001169279MaRDI QIDQ837108

Olivier Pironneau

Publication date: 10 September 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.10.070

zbMATH Keywords

option pricingproper orthogonal decompositionreduced basis methodmathematical finance

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)

Related Items (4)

REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ Adaptive Trust-Region POD Methods in PIDE-Constrained Optimization ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation

Cites Work

• The Pricing of Options and Corporate Liabilities
• A priori convergence theory for reduced-basis approximations of single-parameter elliptic partial differential equations
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing
• Automatic differentiation in C++ using expression templates and application to a flow control problem

This page was built for publication: Calibration of options on a reduced basis