Option pricing in a one-dimensional affine term structure model via spectral representations

DOI10.1137/16M1098267MaRDI QIDQ4579836zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

option pricingnumerical methodsnon-self-adjointeigenvalue expansionsaffine terms structure model

Mathematics Subject Classification ID

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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• 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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• Spectral decomposition of fractional operators and a reflected stable semigroup
• Spectral representation for branching processes on the real half line
• Spectral representation for branching processes with immigration on the real half line
• Spectral theory of branching processes. I
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• The affine LIBOR models
• The theory of scale functions for spectrally negative Lévy processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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

Describes a project that uses

Uses Software

• diffEq
• deSolve

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