Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
نویسندگان
چکیده
منابع مشابه
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
Hilbert space-valued jump-diffusion models are employed for various markets and derivatives. Examples include swaptions, which depend on continuous forward curves, and basket options on stocks. Usually, no analytical pricing formulas are available for such products. Numerical methods, on the other hand, suffer from exponentially increasing computational effort with increasing dimension of the p...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2010
ISSN: 1945-497X
DOI: 10.1137/09077271x