Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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Publication:941609
DOI10.1016/J.APNUM.2007.07.005zbMATH Open1151.91546OpenAlexW1964029991MaRDI QIDQ941609FDOQ941609
Authors: Désiré Yannick Tangman, A. Gopaul, Muddun Bhuruth 
Publication date: 1 September 2008
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2007.07.005
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option pricingintegro-differential equationsspectral methodsjump-diffusion processesexponential time differencing
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Theoretical approximation in context of PDEs (35A35) Numerical methods for partial differential equations, boundary value problems (65N99)
Cites Work
- The pricing of options and corporate liabilities
- Financial Modelling with Jump Processes
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Spectral Methods in MATLAB
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Numerical valuation of options with jumps in the underlying
- A penalty method for American options with jump diffusion processes
- Robust numerical methods for contingent claims under jump diffusion processes
- Fast deterministic pricing of options on Lévy driven assets
- Derivative securities and difference methods.
- Numerical pricing of options using high-order compact finite difference schemes
- Efficient approximation of the exponential operator for discrete 2D advection–diffusion problems
Cited In (29)
- High-order time stepping scheme for pricing American option under bates model
- Numerical solutions of the time‐dependent Schrödinger equation with position‐dependent effective mass
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- A high-order finite difference method for option valuation
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- Convergence of an exponential Runge-Kutta method for non-smooth initial data
- A spectral element method for option pricing under regime-switching with jumps
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- On the acceleration of explicit finite difference methods for option pricing
- An inexact shift-and-invert Arnoldi algorithm for Toeplitz matrix exponential.
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Fast exponential time integration scheme for option pricing with jumps.
- Rational Krylov methods in exponential integrators for European option pricing.
- A positivity-preserving numerical scheme for nonlinear option pricing models
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential.
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- A shifted block FOM algorithm with deflated restarting for matrix exponential computations
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A Laplace transform approach for pricing European options
- A fast numerical method to price American options under the Bates model
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