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BIT Numerical Mathematics

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03.09.2018

Pricing multi-asset option problems: a Chebyshev pseudo-spectral method

verfasst von: Fazlollah Soleymani

Erschienen in: BIT Numerical Mathematics | Ausgabe 1/2019

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Abstract

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 problems. In such problems, the prices are required to be as accurately as possible around the strike price. Accordingly, the proposed modification of the Chebyshev–Gauss–Lobatto points would concentrate on this area. This adaptation is also fruitful for the non-smooth payoffs which cause discontinuities in the strike price. The proposed scheme competes well with the existing methods such as finite difference, meshfree, and adaptive finite difference methods on several benchmark problems.

Vorheriger Artikel Stability and convergence of a conservative finite difference scheme for the modified Hunter–Saxton equation

Nächster Artikel A further analysis of backward error in polynomial deflation

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Titel: Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
verfasst von: Fazlollah Soleymani
Publikationsdatum: 03.09.2018
Verlag: Springer Netherlands
Erschienen in: BIT Numerical Mathematics / Ausgabe 1/2019
Print ISSN: 0006-3835
Elektronische ISSN: 1572-9125
DOI: https://doi.org/10.1007/s10543-018-0722-0

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