Nonconforming least-squares spectral element method for European options
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Publication:2007189
least-squares methoddomain decompositionexponential accuracyBlack-Scholes equationparallel preconditionersHermite mollifier
Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cites work
- scientific article; zbMATH DE number 3640828 (Why is no real title available?)
- scientific article; zbMATH DE number 3396393 (Why is no real title available?)
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- A spectral method for bonds
- Computational Methods for Option Pricing
- Design of high performance financial modelling environment
- Filters, mollifiers and the computation of the Gibbs phenomenon
- Least-squares finite element methods
- Optimal filter and mollifier for piecewise smooth spectral data
- Preconditioners for spectral element methods for elliptic and parabolic problems
- Spectral Methods for Periodic Initial Value Problems with Nonsmooth Data
- Spectral element methods for parabolic problems
- Spectral methods for hyperbolic initial boundary value problems on parallel computers
- The pricing of options and corporate liabilities
- Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method
- \(h\)-\(p\) spectral element method for elliptic problems on nonsmooth domains using parallel computers
Cited in
(14)- Spectral method and spectral element method for three dimensional linear elliptic system: analysis and application
- Nonconforming spectral element method: a friendly introduction in one dimension and a short review in higher dimensions
- A fully spectral collocation method for pricing European style standard and nonstandard options
- Legendre rational pseudospectral method for Black-Scholes equation
- Exponentially accurate nonconforming least-squares spectral element method for elliptic problems on unbounded domain
- Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
- An efficient computational algorithm for pricing European, barrier and American options
- Multidomain Legendre-Galerkin Chebyshev collocation least squares method for one-dimensional problems with two nonhomogeneous jump conditions
- Spectral element method for parabolic interface problems
- Spectral approximation of infinite-dimensional Black-Scholes equations with memory
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