Option pricing in a one-dimensional affine term structure model via spectral representations
DOI10.1137/16M1098267zbMATH Open1411.91616OpenAlexW2794497155WikidataQ129780046 ScholiaQ129780046MaRDI QIDQ4579836FDOQ4579836
Authors: Marie Chazal, Pierre Patie, Ronnie Loeffen 
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1098267
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cited In (6)
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- On the anisotropic stable JCIR process
- Regularity of transition densities and ergodicity for affine jump‐diffusions
- Risk‐neutral pricing techniques and examples
- Smoothness of continuous state branching with immigration semigroups
- A spectral element approximation to price European options with one asset and stochastic volatility
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