Wavelet method for option pricing under the two-asset Merton jump-diffusion model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F21%3A00009610" target="_blank" >RIV/46747885:24510/21:00009610 - isvavai.cz</a>
Result on the web
<a href="https://dml.cz/handle/10338.dmlcz/703098" target="_blank" >https://dml.cz/handle/10338.dmlcz/703098</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21136/panm.2020.03" target="_blank" >10.21136/panm.2020.03</a>

Result language
angličtina
Original language name
Wavelet method for option pricing under the two-asset Merton jump-diffusion model
Original language description
This paper examines the pricing of two-asset European options under the Merton model represented by a nonstationary integro-differential equation with two state variables. For its numerical solution, the wavelet-Galerkin method combined with the Crank-Nicolson scheme is used. A drawback of most classical methods is the full structure of discretization matrices. In comparison, the wavelet method enables the approximation of discretization matrices with sparse matrices. Sparsity is essential for the efficient application of iterative methods in solving the resulting systems and the efficient computation of the matrices arising from the discretization of integral terms. To illustrate the efficiency of the method, we provide the results of numerical experiments concerning a European option on the maximum of two assets.
Czech name
—
Czech description
—

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Programs and Algorithms of Numerical Mathematics 20, Proceedings of Seminar
ISBN
978-80-85823-71-4
ISSN
—
e-ISSN
—
Number of pages
10
Pages from-to
30-39
Publisher name
ACAD SCIENCES CZECH REPUBLIC, INST MATHEMATICS
Place of publication
PRAHA
Event location
Hejnice
Event date
Jan 1, 2020
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
000672803500003

Similar results(10)