A Spectral Element Method to Price Single and Multi-asset European Options

A Spectral Element Method to Price Single and Multi-asset European Options

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The method is spectrally accurate (exponentially convergent) in space and second order accurate in time for European options under all the three models. Spectral accuracy is observed in not only the solution, but also in the Greeks.3.11 Convergence of the maximum error of aˆ† and I“ computed from the spectral element solution of European jump diffusion put option with boundary condition ( 3.5), NI„ = 320. ... 47 4.1 Domain subdivision for the rainbow put option payoff, v( S1 , S2 , 0) = max(Kaˆ’ max(S1, S2)). ... 75 5.1 The boundary conditions and the domain subdivision for a put option under the stochastic volatility model, (5.3).


Title:A Spectral Element Method to Price Single and Multi-asset European Options
Author:
Publisher:ProQuest - 2008
ISBN-13:

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