Fast deterministic pricing of options on Lévy driven assets

DOI10.1051/m2an:2004003zbMath1072.60052OpenAlexW2118408949MaRDI QIDQ5315443

Ana-Maria Matache, Tobias von Petersdorff, Christoph Schwab

Publication date: 8 September 2005

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=M2AN_2004__38_1_37_0

zbMATH Keywords

Galerkin method arbitrage-free prices parabolic partial integro-differential equation European contracts on risky assets Lévy price processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES, Asymptotically compatible schemes for the approximation of fractional Laplacian and related nonlocal diffusion problems on bounded domains, Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations, A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates, Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options, Dirichlet Forms and Finite Element Methods for the SABR Model, A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices, Variational Solutions of the Pricing PIDEs for European Options in Lévy Models, Unnamed Item, Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option, Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models, Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models, Finite element approximation of an obstacle problem for a class of integro–differential operators, A finite elements approach for spread contract valuation via associated two-dimensional PIDE, Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model, Closed-form option pricing for exponential Lévy models: a residue approach, A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options, Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs, A finite element discretization method for option pricing with the Bates model, On Kolmogorov equations for anisotropic multivariate Lévy processes, ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS, Numerical solution of two asset jump diffusion models for option valuation, Identification of the local speed function in a Lévy model for option pricing, On the calibration of local jump-diffusion asset price models, Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models, Hedging electricity swaptions using partial integro-differential equations, Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces, Exponential time integration and Chebychev discretisation schemes for fast pricing of options, Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions, Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models, Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models, An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function, Fast numerical valuation of options with jump under Merton's model, Methods for the rapid solution of the pricing PIDEs in exponential and Merton models, Efficient solution of a partial integro-differential equation in finance, Unconditional positive stable numerical solution of partial integrodifferential option pricing problems, Numerical methods for Lévy processes, Smart expansion and fast calibration for jump diffusions, A posteriori error analysis for a class of integral equations and variational inequalities, Positive solutions of European option pricing with CGMY process models using double discretization difference schemes, Numerical valuation of options with jumps in the underlying, Leveraged Lévy processes as models for stock prices, Wavelet solution of variable order pseudodifferential equations, Linear complexity solution of parabolic integro-differential equations, DG method for pricing European options under Merton jump-diffusion model., Exponential time integration for fast finite element solutions of some financial engineering problems, Wavelet Galerkin pricing of American options on Lévy driven assets, A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process, Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations, Option valuation under the VG process by a DG method., Numerical solutions of Black-Scholes integro-differential equations with convergence analysis, Implied stopping rules for American basket options from Markovian projection, PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES, The obstacle problem for semilinear parabolic partial integro-differential equations

Cites Work