Polynomial chaos for simulating random volatilities

DOI10.1016/J.MATCOM.2009.05.008MaRDI QIDQ1037788zbMATH OpenOpenAlexFDO

Authors Roland Pulch, Cathrin Van Emmerich

Publication date 16 November 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2009.05.008

zbMATH Keywords

method of linesoption priceparabolic equationpolynomial chaosvolatility

Mathematics Subject Classification ID

Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
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• Applications of Malliavin calculus to Monte Carlo methods in finance

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new class of random number generators
• scientific article; zbMATH DE number 2031584 (Why is no real title available?)
• scientific article; zbMATH DE number 218557 (Why is no real title available?)
• scientific article; zbMATH DE number 940566 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Polynomial chaos for the approximation of uncertainties: Chances and limits
• Solving Ordinary Differential Equations I
• Stochastic differential equations. An introduction with applications.
• Stock price distributions with stochastic volatility: an analytic approach
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• The pricing of options and corporate liabilities
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(11)

• Polynomial chaos expansion approach to interest rate models
• Further properties of random orthogonal matrix simulation
• Generalised polynomial chaos for a class of linear conservation laws
• Option pricing with Legendre polynomials
• A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
• Computation of the effects of uncertainty in volatility on option pricing and hedging
• Brownian path generation and polynomial chaos
• Generalized polynomial chaos for nonlinear random delay differential equations
• The Helmholtz equation with uncertainties in the wavenumber
• Modelling and simulation of autonomous oscillators with random parameters
• Stochastic Chebyshev-Picard iteration method for nonlinear differential equations with random inputs

Describes a project that uses

Uses Software

• Matlab
• RODAS

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