A spectral element method to price European options. I. Single asset with and without jump diffusion
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Publication:618463
DOI10.1007/S10915-008-9267-8zbMATH Open1203.91306OpenAlexW1999318954MaRDI QIDQ618463FDOQ618463
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
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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
- Option pricing when underlying stock returns are discontinuous
- Spectral Methods
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- High-Order Methods for Incompressible Fluid Flow
- A spectral method for bonds
- Computational Methods for Option Pricing
- Robust numerical methods for contingent claims under jump diffusion processes
- Implicit-explicit numerical schemes for jump-diffusion processes
- Design of high performance financial modelling environment
Cited In (22)
- Spectral element technique for nonlinear fractional evolution equation, stability and convergence analysis
- A numerical solution strategy based on error analysis for time-fractional mobile/immobile transport model
- A novel finite difference-spectral method for fractal mobile/immobile transport model based on Caputo-Fabrizio derivative
- Alternating direction implicit-spectral element method (ADI-SEM) for solving multi-dimensional generalized modified anomalous sub-diffusion equation
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- A spectral element framework for option pricing under general exponential Lévy processes
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- On a semi-spectral method for pricing an option on a mean-reverting asset
- A spectral element method for option pricing under regime-switching with jumps
- A spectral element method using the modal basis and its application in solving second‐order nonlinear partial differential equations
- A Legendre spectral element method on a large spatial domain to solve the predator-prey system modeling interacting populations
- Modal spectral element method in curvilinear domains
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Legendre spectral element method for solving time fractional modified anomalous sub-diffusion equation
- A spectral element approximation to price European options with one asset and stochastic volatility
- A class of moving Kriging interpolation-based DQ methods to simulate multi-dimensional space Galilei invariant fractional advection-diffusion equation
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- Nonconforming least-squares spectral element method for European options
- Second-order finite difference/spectral element formulation for solving the fractional advection-diffusion equation
- Legendre spectral element method (LSEM) to simulate the two-dimensional system of nonlinear stochastic advection–reaction–diffusion models
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
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