Browsing Mathematics by Subject "Greeks"

Now showing items 1-2 of 2

    • Contour integral method for European options with jumps 

      Ngounda, Edgard; Patidar, Kailash C.; Pindza, Edson (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 

      Pindza, Edson; Patidar, Kailash C. (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 ...