Browsing Faculty of Natural Sciences by Subject "Greeks"
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Contour integral method for European options with jumps
(Elsevier, 2013)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 ... -
A robust spectral method for pricing of American put options on zero-coupon bonds
(Global-Science Press, 2018)American put options on a zero-coupon bond problem is reformulated as a linear complementarity problem of the option value and approximated by a nonlinear partial differential equation. The equation is solved by an ...