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A Kind of Accelerated AOS Difference Schemes For Dual Currency Option Pricing Model
Dual currency option pricing model accelerated AOS algorithm 'explicit-implicit' scheme 'implicit-explicit' scheme second order accuracy
2011/10/15
Black-Scholes equation of Dual currency option pricing is a typical multi-asset option pricing model, and it is important to research it's numerical value. This paper uses the accelerated additive ope...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
partial integro-differential equation jump diffusion models
2010/4/27
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a part...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/4/27
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
A comprehensive method for exotic option pricing
by-product pricing formulas exotic options
2010/4/27
This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditi...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...
The martingale approach for credit-risky exchange option pricing
Exchange option Girsanov’s theorem
2010/9/10
An exchange option allows its holder to exchange one asset for another at maturity. In this short paper, the martingale approach, which is based on Continuous martingale representation theorem and Gir...