Wavelet-Galerkin Method for Pricing Two-Asset European Options under Merton Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F23%3A00011878" target="_blank" >RIV/46747885:24510/23:00011878 - isvavai.cz</a>
Result on the web
<a href="https://pubs.aip.org/aip/acp/article-abstract/2849/1/090002/2909005/Wavelet-Galerkin-method-for-pricing-two-asset?redirectedFrom=fulltext" target="_blank" >https://pubs.aip.org/aip/acp/article-abstract/2849/1/090002/2909005/Wavelet-Galerkin-method-for-pricing-two-asset?redirectedFrom=fulltext</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/5.0162134" target="_blank" >10.1063/5.0162134</a>
Alternative languages
Result language
angličtina
Original language name
Wavelet-Galerkin Method for Pricing Two-Asset European Options under Merton Model
Original language description
This paper focuses on pricing two-asset European options under the Merton model admitting jumps in the price of underlying assets. This model is represented by a nonstationary integro-differential equation with two state variables. First, we transform the equation to logarithmic prices, approximate the domain and the integral term, and set appropriate boundary conditions. Then, we study the wavelet-Galerkin method combined with the Crank-Nicolson scheme for discretization. The significant advantage of the method is a sparse structure of resulting matrices, which is not achieved for many standard methods due to the integral term. Other advantages are uniformly bounded condition numbers of the matrices, high-order accuracy of the scheme, and a small number of parameters representing the solution. To illustrate the efficiency of the method, we provide numerical experiments.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
<a href="/en/project/GA22-17028S" target="_blank" >GA22-17028S: Flexible tools for strategic investments and decision-making: analysis, valuation and implementation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
AIP Conference Proceedings
ISBN
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ISSN
0094-243X
e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
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Place of publication
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Event location
Rhodes
Event date
Jan 1, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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