Spectral methods in derivatives pricing
V Linetsky - Handbooks in Operations Research and Management …, 2007 - Elsevier
In this chapter we study the problem of valuing a (possibly defaultable) derivative asset
contingent on the underlying economic state modeled as a Markov process. To gain …
contingent on the underlying economic state modeled as a Markov process. To gain …
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
LV Ballestra, G Pacelli - Journal of Economic Dynamics and Control, 2013 - Elsevier
An increasingly popular and promising approach to solve option pricing models is the use of
numerical methods based on radial basis functions (RBF). These techniques yield high …
numerical methods based on radial basis functions (RBF). These techniques yield high …
[HTML][HTML] Penalty methods for the numerical solution of American multi-asset option problems
BF Nielsen, O Skavhaug, A Tveito - Journal of Computational and Applied …, 2008 - Elsevier
We derive and analyze a penalty method for solving American multi-asset option problems.
A small, non-linear penalty term is added to the Black–Scholes equation. This approach …
A small, non-linear penalty term is added to the Black–Scholes equation. This approach …
Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
LV Ballestra, G Pacelli - Engineering analysis with boundary elements, 2011 - Elsevier
We propose a numerical method to compute the survival (first-passage) probability density
function in jump-diffusion models. This function is obtained by numerical approximation of …
function in jump-diffusion models. This function is obtained by numerical approximation of …
Pricing multi-asset American options: A finite element method-of-lines with smooth penalty
P Kovalov, V Linetsky, M Marcozzi - Journal of Scientific Computing, 2007 - Springer
This paper studies the problem of pricing multi-asset American-style options in the Black–
Scholes–Merton framework. The value function of an option contract is known to satisfy a …
Scholes–Merton framework. The value function of an option contract is known to satisfy a …
A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
LV Ballestra, G Pacelli - Engineering analysis with boundary elements, 2012 - Elsevier
We consider the problem of computing the survival (first-passage) probability density
function of jump-diffusion models with two stochastic factors. In particular the Fokker–Planck …
function of jump-diffusion models with two stochastic factors. In particular the Fokker–Planck …
A local radial basis function method for high-dimensional American option pricing problems
VN Egorova, L Jodar, F Soleymani - Mathematical Modelling and …, 2018 - jau.vgtu.lt
In this work, we apply the local Wendland radial basis function (RBF) for solving the time-
dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of …
dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of …
Implied stopping rules for American basket options from Markovian projection
This work addresses the problem of pricing American basket options in a multivariate
setting, which includes among others, the Bachelier and Black–Scholes models. In high …
setting, which includes among others, the Bachelier and Black–Scholes models. In high …
A computationally efficient numerical approach for multi-asset option pricing
L Khodayari, M Ranjbar - International Journal of Computer …, 2019 - Taylor & Francis
Numerical solution of the multi-dimensional partial differential equations arising in the
modelling of option pricing is a challenging problem. Mesh-free methods using global radial …
modelling of option pricing is a challenging problem. Mesh-free methods using global radial …
[PDF][PDF] On the numerical solution of Black-Scholes equation
MB Koc, I Boztosun, D Boztosun - International Workshop on …, 2003 - math.tecnico.ulisboa.pt
A novel adaptive radial basis function scheme based on the radial basis function methods is
presented for the numerical solution of the Black-Scholes equation, which has been used …
presented for the numerical solution of the Black-Scholes equation, which has been used …