Exponential time integration and Chebychev discretisation schemes for fast pricing of options

DOI10.1016/j.apnum.2007.07.005zbMath1151.91546OpenAlexW1964029991MaRDI QIDQ941609

Muddun Bhuruth, Désiré Yannick Tangman, Ashvin Gopaul

Publication date: 1 September 2008

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2007.07.005

zbMATH Keywords

integro-differential equationsoption pricingspectral methodsjump-diffusion processesexponential time differencing

Mathematics Subject Classification ID

Related Items (26)

High-order time stepping scheme for pricing American option under Bates model ⋮ Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential ⋮ A radial basis function based implicit-explicit method for option pricing under jump-diffusion models ⋮ An inexact shift‐and‐invert Arnoldi algorithm for Toeplitz matrix exponential ⋮ A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes ⋮ Unnamed Item ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ Numerical solutions of the time‐dependent Schrödinger equation with position‐dependent effective mass ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation ⋮ A shifted block FOM algorithm with deflated restarting for matrix exponential computations ⋮ A high-order finite difference method for option valuation ⋮ A positivity-preserving numerical scheme for nonlinear option pricing models ⋮ A new radial basis functions method for pricing American options under Merton's jump-diffusion model ⋮ Fast exponential time integration scheme for option pricing with jumps ⋮ A fast numerical method to price American options under the Bates model ⋮ Efficient and high accuracy pricing of barrier options under the CEV diffusion ⋮ Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models ⋮ A Laplace Transform Approach for Pricing European Options ⋮ Exponential time integration for fast finite element solutions of some financial engineering problems ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models ⋮ Rational Krylov methods in exponential integrators for European option pricing ⋮ A second-order efficientL-stable numerical method for space fractional reaction–diffusion equations ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

Uses Software

• Matlab

Cites Work

• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Numerical pricing of options using high-order compact finite difference schemes
• Numerical valuation of options with jumps in the underlying
• Derivative securities and difference methods.
• A penalty method for American options with jump diffusion processes
• On Krylov Subspace Approximations to the Matrix Exponential Operator
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Spectral Methods in MATLAB
• Robust numerical methods for contingent claims under jump diffusion processes
• Financial Modelling with Jump Processes
• Fast deterministic pricing of options on Lévy driven assets
• Efficient approximation of the exponential operator for discrete 2D advection–diffusion problems
• A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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