A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
From MaRDI portal
Publication:1930421
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
Laguerre functions; option pricing; unbounded domain; Black-Scholes; spectral element; Merton jump diffusion; spectral-Galerkin
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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