Limitations and improvements of standard spectral methods for pricing standard options
DOI10.1007/S12572-015-0140-3zbMATH Open1342.91043OpenAlexW1181484598MaRDI QIDQ531074FDOQ531074
Authors: E. Ngounda, Kailash C. Patidar 
Publication date: 3 August 2016
Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12572-015-0140-3
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Cites Work
- Spectral Methods in MATLAB
- Exponential time differencing for stiff systems
- Parabolic and hyperbolic contours for computing the Bromwich integral
- Quadratic convergence for valuing American options using a penalty method
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- Option pricing: A simplified approach
- The Accurate Numerical Inversion of Laplace Transforms
- Exponential Integrators for Large Systems of Differential Equations
- Laplace transforms and American options
- Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
- A Rational Spectral Collocation Method with Adaptively Transformed Chebyshev Grid Points
- Some New Aspects of Rational Interpolation
- Exponential convergence of a linear rational interpolant between transformed Chebyshev points
- An exact and explicit solution for the valuation of American put options
- Contour integral method for European options with jumps
- Derivative securities and difference methods.
- Numerical pricing of options using high-order compact finite difference schemes
- Optimal exercise boundary for an American put option
- Front-tracking finite difference methods for the valuation of American options
- Rational interpolation through the optimal attachment of poles to the interpolating polynomial
Cited In (2)
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