Option pricing in a one-dimensional affine term structure model via spectral representations
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Publication:4579836
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials
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- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
- Exponential moments of affine processes
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- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Skew convolution semigroups and affine Markov processes
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- The affine LIBOR models
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Cited in
(7)- Smoothness of continuous state branching with immigration semigroups
- A spectral algorithm for pricing interest rate options
- 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
- A spectral element approximation to price European options with one asset and stochastic volatility
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