A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing

DOI10.1016/J.AMC.2020.125764MaRDI QIDQ2662604zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 April 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2020.125764

zbMATH Keywords

arbitrary polynomial chaosAsian optiongeneralized polynomial chaosstatistical momentsuncertain volatility

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Probabilistic methods, stochastic differential equations (65C99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
• Computation of the effects of uncertainty in volatility on option pricing and hedging
• Eigenvalues of the Jacobian of a Galerkin-projected uncertain ODE system
• Far field boundary conditions for Black-Scholes equations
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
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• Multi-Element Generalized Polynomial Chaos for Arbitrary Probability Measures
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• On the convergence of generalized polynomial chaos expansions
• Polynomial chaos for simulating random volatilities
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The value of an Asian option
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(5)

• Polynomial chaos for simulating random volatilities
• Polynomial chaos expansion approach to interest rate models
• The pricing of Asian options in uncertain volatility model
• Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

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