A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models

DOI10.1007/s10915-011-9556-5zbMath1254.91745MaRDI QIDQ1930421

Jie Shen, Feng Chen, Hai-jun Yu

Publication date: 11 January 2013

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-011-9556-5

zbMATH Keywords

Laguerre functions; option pricing; unbounded domain; Black-Scholes; spectral element; Merton jump diffusion; spectral-Galerkin

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs

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