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 …

[图书][B] Computational methods for option pricing

Y Achdou, O Pironneau - 2005 - SIAM
Mathematical finance is an old science but has become a major topic for numerical analysts
since Merton [97], Black—Scholes [16] modeled financial derivatives. An excellent book for …

Discontinuous Galerkin method for fractional convection-diffusion equations

Q Xu, JS Hesthaven - SIAM Journal on Numerical Analysis, 2014 - SIAM
We propose a discontinuous Galerkin method for fractional convection-diffusion equations
with a superdiffusion operator of order α(1<α<2) defined through the fractional Laplacian …

[HTML][HTML] Exotic options under Lévy models: An overview

W Schoutens - Journal of Computational and Applied Mathematics, 2006 - Elsevier
Exotic options under Lévy models: An overview - ScienceDirect Skip to main contentSkip to
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Pricing options in jump-diffusion models: an extrapolation approach

L Feng, V Linetsky - Operations Research, 2008 - pubsonline.informs.org
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …

On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance

W Wang, Y Chen, H Fang - SIAM Journal on Numerical Analysis, 2019 - SIAM
In this paper the implicit-explicit (IMEX) two-step backward differentiation formula (BDF2)
method with variable step-size, due to the nonsmoothness of the initial data, is developed for …

An introduction to L\'{e} vy processes with applications in finance

A Papapantoleon - arXiv preprint arXiv:0804.0482, 2008 - arxiv.org
These lectures notes aim at introducing L\'{e} vy processes in an informal and intuitive way,
accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e} vy …

Machine learning of space-fractional differential equations

M Gulian, M Raissi, P Perdikaris, G Karniadakis - SIAM Journal on Scientific …, 2019 - SIAM
Data-driven discovery of “hidden physics''---ie, machine learning of differential equation
models underlying observed data---has recently been approached by embedding the …

Efficient solution of a partial integro-differential equation in finance

EW Sachs, AK Strauss - Applied Numerical Mathematics, 2008 - Elsevier
Jump-diffusion models for the pricing of derivatives lead under certain assumptions to partial
integro-differential equations (PIDE). Such a PIDE typically involves a convection term and a …

Numerical valuation of European and American options under Kou's jump-diffusion model

J Toivanen - SIAM Journal on Scientific Computing, 2008 - SIAM
Numerical methods are developed for pricing European and American options under Kou's
jump-diffusion model, which assumes the price of the underlying asset to behave like a …