منابع مشابه
Multiquadric Method for Solving Options Pricing Model
This paper applies the global radial basis functions as a spatial collocation scheme for solving the Options Pricing model. Diierent numerical time integration schemes are employed for the time derivative of the model. It is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical solution. Since the basis functions ...
متن کاملThe COS Method for Pricing Options Under Uncertain Volatility
We develop a method for pricing financial options under uncertain volatility. The method is based on the dynamic programming principle and a Fourier cosine expansion method. Local errors in the vicinity of domain boundaries, originating from the use of Fourier series expansions, may hamper the algorithm’s convergence. We use an extrapolation method to deal with these errors.
متن کاملAn Efficient Method for Pricing American Options for Jump Diffusions
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric Brownian motion, and can be numerically constructed using the classical finite difference methods. W...
متن کاملA Radial Basis Function Method for Solving Options Pricing Model
This paper applies the global radial basis functions as a spatial collocation scheme for solving the Options Pricing model. Diierent numerical time integration schemes are employed for the time derivative of the model. In the case of the European options, it is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical...
متن کاملModulus-based Successive Overrelaxation Method for Pricing American Options†
We consider the modulus-based successive overrelaxation method for the linear complementarity problems from the discretization of Black-Scholes American options model. The H+-matrix property of the system matrix discretized from American option pricing which guarantees the convergence of the proposed method for the linear complementarity problem is analyzed. Numerical experiments confirm the th...
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ژورنال
عنوان ژورنال: PAMM
سال: 2007
ISSN: 1617-7061,1617-7061
DOI: 10.1002/pamm.200701027