Low-dimensional partial integro-differential equations for high-dimensional Asian options

DOI10.1007/978-3-319-02069-3_15MaRDI QIDQ4561939zbMATH OpenOpenAlexFDO

Authors 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

Asian optiondimension reductionHilbert space valued jump-diffusionpartial integro-differential equationproper orthogonal decomposition

Mathematics Subject Classification ID

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

Recommendations

• Pricing Asian options for jump diffusion
• Small dimension PDE for discrete Asian options
• IMEX methods for pricing fixed strike Asian options with jump-diffusion models
• Partial differential equations for Asian option prices
• DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.

Cites work

• A note on the Itô formula of stochastic integrals in Banach spaces
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
• Exotic options under Lévy models: an overview
• Fast deterministic pricing of options on Lévy driven assets
• Financial Modelling with Jump Processes
• Hedging electricity swaptions using partial integro-differential equations
• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• Pricing Asian options in a semimartingale model
• Stochastic Equations in Infinite Dimensions
• Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
• Stochastic Partial Differential Equations with Levy Noise
• The value of an Asian option

Cited in

(5)

• Essentially exact asymptotic solutions for Asian derivatives
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Small dimension PDE for discrete Asian options

This page was built for publication: Low-dimensional partial integro-differential equations for high-dimensional Asian options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4561939)