Solution of option pricing equations using orthogonal polynomial expansion

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F21%3A43956999" target="_blank" >RIV/49777513:23520/21:43956999 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.21136/AM.2021.0361-19" target="_blank" >https://doi.org/10.21136/AM.2021.0361-19</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21136/AM.2021.0361-19" target="_blank" >10.21136/AM.2021.0361-19</a>

Result language
angličtina
Original language name
Solution of option pricing equations using orthogonal polynomial expansion
Original language description
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial diferential equation for the Black-Scholes model using Hermite polynomials and for the Heston model using Hermite and Laguerre polynomials. We compare obtained solutions to existing semi-closed pricing formulas. Special attention is paid to the solution of Heston model at the boundary with vanishing volatility.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10102 - Applied mathematics

Project
<a href="/en/project/GA18-16680S" target="_blank" >GA18-16680S: Rough models of fractional stochastic volatility</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

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

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