Nonconforming least-squares spectral element method for European options
DOI10.1016/J.CAMWA.2015.04.019zbMATH Open1443.65247OpenAlexW224521294MaRDI QIDQ2007189FDOQ2007189
Arbaz Khan, P. Dutt, C. S. 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
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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)
Cites Work
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- A spectral method for bonds
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- A spectral element method to price European options. I. Single asset with and without jump diffusion
- Filters, mollifiers and the computation of the Gibbs phenomenon
- Optimal filter and mollifier for piecewise smooth spectral data
- Design of high performance financial modelling environment
- Spectral methods for hyperbolic initial boundary value problems on parallel computers
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Cited In (7)
- Nonconforming spectral element method: a friendly introduction in one dimension and a short review in higher dimensions
- Spectral element method for parabolic interface problems
- Multidomain Legendre-Galerkin Chebyshev collocation least squares method for one-dimensional problems with two nonhomogeneous jump conditions
- Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
- Spectral method and spectral element method for three dimensional linear elliptic system: analysis and application
- Exponentially accurate nonconforming least-squares spectral element method for elliptic problems on unbounded domain
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
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