Spectral methods for volatility derivatives

DOI10.1080/14697680902773603zbMath1188.91208arXiv0905.2091MaRDI QIDQ3182744

Harry Lo, Aleksandar Mijatović, Claudio Albanese

Publication date: 16 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.2091

zbMATH Keywords

volatility surfaces; volatility modeling; volatility smile fitting; stochastic volatility quantitative finance

Mathematics Subject Classification ID

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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Cites Work

• The Pricing of Options and Corporate Liabilities
• Consistent variance curve models
• An Algorithm for Computing Reducing Subspaces by Block Diagonalization
• Moment swaps
• Valuation of volatility derivatives as an inverse problem
• Numerical Considerations in Computing Invariant Subspaces
• On the pricing and hedging of volatility derivatives
• The Variance Gamma Process and Option Pricing