Wavelet Method for Sensitivity Analysis of European Options under Merton Jump-Diffusion Model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F22%3A00010392" target="_blank" >RIV/46747885:24510/22:00010392 - isvavai.cz</a>
Result on the web
<a href="https://aip.scitation.org/doi/abs/10.1063/5.0081442" target="_blank" >https://aip.scitation.org/doi/abs/10.1063/5.0081442</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/5.0081442" target="_blank" >10.1063/5.0081442</a>

Result language
angličtina
Original language name
Wavelet Method for Sensitivity Analysis of European Options under Merton Jump-Diffusion Model
Original language description
The paper is concerned with the valuation of European option prices and Greeks under the Merton jump-diffusion model. This model is represented by the nonstationary integro-differential equation with a degenerate elliptic differential operator. The Galerkin method with cubic spline wavelets is employed for spatial discretization combined with the Crank-Nicolson scheme and Richardson extrapolation for time discretization. This method provides many advantages, such as sparse and uniformly conditioned discretization matrices, high-order convergence, and a small number of parameters representing the solution with the desired accuracy. Numerical experiments are presented for the European vanilla put option to illustrate the efficiency and applicability of the proposed scheme.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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