A spectral element method to price European options. I. Single asset with and without jump diffusion
From MaRDI portal
Publication:618463
Recommendations
- A spectral element method for option pricing under regime-switching with jumps
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- A spectral element approximation to price European options with one asset and stochastic volatility
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Nonconforming least-squares spectral element method for European options
Cites work
- A spectral method for bonds
- Computational Methods for Option Pricing
- Design of high performance financial modelling environment
- High-Order Methods for Incompressible Fluid Flow
- Implicit-explicit numerical schemes for jump-diffusion processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Option pricing when underlying stock returns are discontinuous
- Robust numerical methods for contingent claims under jump diffusion processes
- Spectral Methods
Cited in
(27)- Pseudospectral methods for pricing options
- A spectral element approximation to price European options with one asset and stochastic volatility
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- A fully spectral collocation method for pricing European style standard and nonstandard options
- Spectral methods for volatility derivatives
- Contour integral method for European options with jumps
- A class of moving Kriging interpolation-based DQ methods to simulate multi-dimensional space Galilei invariant fractional advection-diffusion equation
- Legendre spectral element method (LSEM) to simulate the two-dimensional system of nonlinear stochastic advection–reaction–diffusion models
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
- A spectral element method using the modal basis and its application in solving second-order nonlinear partial differential equations
- A spectral element method for option pricing under regime-switching with jumps
- A numerical solution strategy based on error analysis for time-fractional mobile/immobile transport model
- Legendre spectral element method for solving time fractional modified anomalous sub-diffusion equation
- A spectral method for bonds
- Modal spectral element method in curvilinear domains
- Nonconforming least-squares spectral element method for European options
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Alternating direction implicit-spectral element method (ADI-SEM) for solving multi-dimensional generalized modified anomalous sub-diffusion equation
- A novel finite difference-spectral method for fractal mobile/immobile transport model based on Caputo-Fabrizio derivative
- On a semi-spectral method for pricing an option on a mean-reverting asset
- Second-order finite difference/spectral element formulation for solving the fractional advection-diffusion equation
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- Spectral element technique for nonlinear fractional evolution equation, stability and convergence analysis
- A Legendre spectral element method on a large spatial domain to solve the predator-prey system modeling interacting populations
- A spectral element framework for option pricing under general exponential Lévy processes
This page was built for publication: A spectral element method to price European options. I. Single asset with and without jump diffusion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q618463)
