Browsing Research Articles (Mathematics) by Subject "Spectral methods"

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    • 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 solving Heston’s model 

      Ngounda, E.; Patidar, Kailash C.; Pindza, E. (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. ...