An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance

DOI10.1016/j.cam.2015.08.010zbMath1334.60065OpenAlexW1519957828MaRDI QIDQ893128

Gongqiu Zhang, Xianjun Qu, Lingfei Li

Publication date: 13 November 2015

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.2015.08.010

zbMATH Keywords

dynamic programmingdiffusionsreal optionseigenfunction expansionsoptimal multiple stoppingoptimal switchingcommodity swing options

Mathematics Subject Classification ID

Related Items (6)

Additive subordination and its applications in finance ⋮ Pure jump models for pricing and hedging VIX derivatives ⋮ A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

Cites Work

• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Additive subordination and its applications in finance
• Evaluating callable and putable bonds: an eigenfunction expansion approach
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Interest rate models -- theory and practice. With smile, inflation and credit
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• Eigenvalue and eigenfunction asymptotics for regular Sturm-Liouville problems
• Stochastic processes and orthogonal polynomials
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Optimal stopping in infinite horizon: an eigenfunction expansion approach
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
• A continuous time model to price commodity-based swing options
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
• A Theory of the Term Structure of Interest Rates
• Pricing Bermudan Options in Lévy Process Models
• Valuation of Commodity-Based Swing Options
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Feller processes of normal inverse Gaussian type
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Pricing discrete barrier options and credit default swaps under Lévy processes
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

This page was built for publication: An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance