Pseudospectral methods for pricing options

DOI10.1080/14697680902785292MaRDI QIDQ3182746zbMATH OpenOpenAlexFDO

Authors Sangwon Suh

Publication date 16 October 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902785292

zbMATH Keywords

American optionsoptions pricingpartial differential equationsstochastic volatility

Mathematics Subject Classification ID

Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A penalty method for American options with jump diffusion processes
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Option pricing when underlying stock returns are discontinuous
• Penalty methods for American options with stochastic volatility
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• Quadratic convergence for valuing American options using a penalty method
• Spectral Expansions for Asian (Average Price) Options
• The pricing of options and corporate liabilities
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuing American options by simulation: a simple least-squares approach

Cited in

(7)

• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
• High-order shifted Gegenbauer integral pseudo-spectral method for solving differential equations of Lane-Emden type
• A spectral algorithm for pricing interest rate options
• A pseudospectral method for option pricing with transaction costs under exponential utility
• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
• Proper Orthogonal Decomposition in Option Pricing
• On a semi-spectral method for pricing an option on a mean-reverting asset

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