Nonconforming least-squares spectral element method for European options

DOI10.1016/j.camwa.2015.04.019zbMath1443.65247OpenAlexW224521294MaRDI QIDQ2007189

Arbaz Khan, Pravir K. Dutt, Chandra Shekhar Upadhyay

Publication date: 12 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.04.019

zbMATH Keywords

least-squares methoddomain decompositionBlack-Scholes equationexponential accuracyparallel preconditionersHermite mollifier

Mathematics Subject Classification ID

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)

Related Items (6)

Multidomain Legendre-Galerkin Chebyshev collocation least squares method for one-dimensional problems with two nonhomogeneous jump conditions ⋮ Nonconforming spectral element method: a friendly introduction in one dimension and a short review in higher dimensions ⋮ 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 ⋮ Spectral element method for parabolic interface problems ⋮ Spectral method and spectral element method for three dimensional linear elliptic system: analysis and application

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A spectral element method to price European options. I. Single asset with and without jump diffusion
• \(h\)-\(p\) spectral element method for elliptic problems on nonsmooth domains using parallel computers
• Spectral element methods for parabolic problems
• Least-squares finite element methods
• Design of high performance financial modelling environment
• A spectral method for bonds
• Preconditioners for spectral element methods for elliptic and parabolic problems
• Optimal filter and mollifier for piecewise smooth spectral data
• Spectral Methods for Periodic Initial Value Problems with Nonsmooth Data
• Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method
• Filters, mollifiers and the computation of the Gibbs phenomenon
• Computational Methods for Option Pricing
• Spectral methods for hyperbolic initial boundary value problems on parallel computers

This page was built for publication: Nonconforming least-squares spectral element method for European options