Evaluation finite moment log-stable option pricing by a spectral method

DOI10.4208/NMTMA.2017-OA-0131MaRDI QIDQ5382407zbMATH OpenOpenAlexWikidataFDO

Authors Xu Guo, L. Ling

Publication date 21 June 2019

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.2017-oa-0131

zbMATH Keywords

European- and American-styled optionsfractional partial differential equationGauss-Jacobi spectral methodLévy-stable processes

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Fractional partial differential equations (35R11) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• Numerical simulation of a finite moment log stable model for a European call option
• A spectral element framework for option pricing under general exponential Lévy processes
• On a semi-spectral method for pricing an option on a mean-reverting asset
• A predictor-corrector approach for pricing American options under the finite moment log-stable model

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