On a semi-spectral method for pricing an option on a mean-reverting asset

DOI10.1088/1469-7688/2/5/302zbMath1405.91689OpenAlexW2048401671MaRDI QIDQ4646794

Antony Ware, B. S. Pavlov, L. P. Bos

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/2/5/302

zbMATH Keywords

option pricingsemi-spectral method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (5)

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices ⋮ An optimal mean-reversion trading rule under a Markov chain model ⋮ Trading a mean-reverting asset: buy low and sell high ⋮ An optimal trading rule under a switchable mean-reversion model ⋮ Polynomial Processes for Power Prices

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