منابع مشابه
A Reduced Basis for Option Pricing
We introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory. Our method uses a basis of functions constructed from a sequence of Black-Scholes solutions with different volatilities. We show that this choice of basis leads to a sparse representation of option pricing functions, yielding an approximation w...
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The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
متن کاملA reduced lattice model for option pricing under regime-switching
We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox-Ross-Rubinstein lattice derived by a simple transformation of the parameters characterizing the highest volatility tree, which allows a simultaneous representation of the asset value in...
متن کاملOption Pricing using Radial Basis Functions
In this paper, we have implemented a radial basis function (RBF) based method for solving the Black–Scholes partial differential equation. The application we have chosen is the valuation of European call options based on several underlying assets. We have shown that by appropriate choices of the RBF shape parameter and the node point placement, the accuracy of the results can be improved by at ...
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In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/10079851x