Pricing multi-asset option problems: A Chebyshev pseudo-spectral method
F Soleymani - BIT Numerical Mathematics, 2019 - Springer
The aim of this paper is to contribute a new second-order pseudo-spectral method via a non-
uniform distribution of the computational nodes for solving multi-asset option pricing …
uniform distribution of the computational nodes for solving multi-asset option pricing …
Four-factor model of quanto CDS with jumps-at-default and stochastic recovery
A Itkin, F Soleymani - Journal of Computational Science, 2021 - Elsevier
We modify the model of Itkin, Shcherbakov and Veygman (ISV), proposed for pricing Quanto
CDS and risky bonds, in several ways. First, the recovery rate could significantly vary right …
CDS and risky bonds, in several ways. First, the recovery rate could significantly vary right …
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF–FD method
F Soleymani, A Itkin - Journal of Computational Science, 2019 - Elsevier
This paper proposes a numerical method for pricing foreign exchange (FX) options in a
model which deals with stochastic interest rates and stochastic volatility of the FX rate. The …
model which deals with stochastic interest rates and stochastic volatility of the FX rate. The …
Benchop–SLV: The benchmarking project in option pricing–stochastic and local volatility problems
In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that
Stochastic and Local Volatility problems were particularly challenging. Here we continue the …
Stochastic and Local Volatility problems were particularly challenging. Here we continue the …
Localised Radial Basis Function Methods for Partial Differential Equations
V Shcherbakov - 2018 - diva-portal.org
Equations. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of
Science and Technology 1600. 54 pp. Uppsala: Acta Universitatis Upsaliensis. ISBN 978-91 …
Science and Technology 1600. 54 pp. Uppsala: Acta Universitatis Upsaliensis. ISBN 978-91 …
Analyzing Various Implementations of the Radial Basis Function Partition of Unity Method for Option Pricing in 3D
L Hellström - 2024 - diva-portal.org
This study evaluates the Radial Basis Function Partition of Unity Method (RBF-PUM) for its
robustness and suitability for solving PDEs in option pricing. The robustness was tested by …
robustness and suitability for solving PDEs in option pricing. The robustness was tested by …