Proper Orthogonal Decomposition in Option Pricing

DOI10.1007/978-3-319-61282-9_24MaRDI QIDQ4626517zbMATH OpenOpenAlexFDO

Authors

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_24

zbMATH Keywords

forward-backward dualitymodel order reductionoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A reduced basis method for the simulation of American options
• Analysis of the Chang-Cooper discretization scheme for a class of Fokker-Planck equations
• Application of operator splitting methods in finance
• Approximation of Large-Scale Dynamical Systems
• Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
• scientific article; zbMATH DE number 2222860 (Why is no real title available?)

Cited in

(2)

• Solution of option pricing equations using orthogonal polynomial expansion.
• Low-dimensional approximations of high-dimensional asset price models

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