Limitations and improvements of standard spectral methods for pricing standard options

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

zbMATH Keywords

Laplace transformAmerican optionscontour integralsspectral methodsexponential time differencing

Mathematics Subject Classification ID

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

• Unnamed Item

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

This page was built for publication: Limitations and improvements of standard spectral methods for pricing standard options