Option pricing with orthogonal polynomial expansions

DOI10.1111/MAFI.12226OpenAlexW2962814363MaRDI QIDQ5109983FDOQ5109983

Authors: Damien Ackerer, Damir Filipović 

Publication date: 14 May 2020

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

Full work available at URL: https://arxiv.org/abs/1711.09193

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zbMATH Keywords

option pricingstochastic volatilityorthogonal polynomialsparameter sensitivityGreekspolynomial diffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Cited In (24)

• Option pricing with Legendre polynomials
• Orthogonal polynomial expansions to evaluate stop-loss premiums
• Exact simulation of the Hull and White stochastic volatility model
• Pricing Asian options with correlators
• The Jacobi stochastic volatility model
• Correlators of polynomial processes
• Measure-valued affine and polynomial diffusions
• Discretization processing of financial risk management using stochastic differential equation simulation method
• Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
• Polynomial jump-diffusion models
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
• Pricing options under stochastic volatility: a power series approach
• A quantum mechanics for interest rate derivatives markets
• Hermite polynomial based expansion of European option prices
• Proper Orthogonal Decomposition in Option Pricing
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• Asian option pricing with orthogonal polynomials
• Jacobi stochastic volatility factor for the LIBOR market model
• Log-normal stochastic volatility model with quadratic drift
• Orthogonal expansions for VIX options under affine jump diffusions
• On the polynomial-normal model and option pricing
• The Heston stochastic volatility model has a boundary trace at zero volatility
• A multifactor polynomial framework for long-term electricity forwards with delivery period
• Solution of option pricing equations using orthogonal polynomial expansion.

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