A spectral element approximation to price European options with one asset and stochastic volatility

DOI10.1007/s10915-009-9333-xzbMath1203.91307OpenAlexW1999869668MaRDI QIDQ618530

David A. Kopriva, Wuming Zhu

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/s10915-009-9333-x

zbMATH Keywords

spectral element methodstochastic volatilityoption pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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