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A robust spectral method for solving Heston’s model
(Springer Verlag, 2014)
In this paper, we consider the Heston’s volatility model (Heston in Rev. Financ. Stud. 6: 327–343, 1993]. We simulate this model using a combination of the spectral collocation method and the Laplace transforms method. ...
Contour integral method for European options with jumps
We develop an efficient method for pricing European options with jump on a single asset. Our approach is based on the combination of two powerful numerical methods, the spectral domain decomposition method and the Laplace ...