A spectral element method to price European options. I. Single asset with and without jump diffusion
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Publication:618463
DOI10.1007/s10915-008-9267-8zbMath1203.91306OpenAlexW1999318954MaRDI QIDQ618463
Publication date: 16 January 2011
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-008-9267-8
Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Implicit-explicit numerical schemes for jump-diffusion processes
- Design of high performance financial modelling environment
- A spectral method for bonds
- High-Order Methods for Incompressible Fluid Flow
- Robust numerical methods for contingent claims under jump diffusion processes
- Computational Methods for Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Spectral Methods
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