Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options

DOI10.1007/978-3-319-02069-3_15zbMath1418.91518OpenAlexW101377108MaRDI QIDQ4561939

Peter Hepperger

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_15

zbMATH Keywords

dimension reductionproper orthogonal decompositionAsian optionpartial integro-differential equationHilbert space valued jump-diffusion

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hedging electricity swaptions using partial integro-differential equations
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Exotic options under Lévy models: an overview
• Stochastic Equations in Infinite Dimensions
• Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
• Pricing Asian options in a semimartingale model
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Financial Modelling with Jump Processes
• The value of an Asian option
• Fast deterministic pricing of options on Lévy driven assets
• Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

This page was built for publication: Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options