Solution of option pricing equations using orthogonal polynomial expansion.

Autor:	Baustian, Falko
Další autoři:	Filipová, Kateřina Pospíšil, Jan
Jazyk:	angličtina
Předmět:	Hermiteovy polynomy Hermite polynomials články journal articles option pricing orthogonal polynomial expansion Laguerre polynomial Heston model
Druh dokumentu:	Non-fiction
ISSN:	0862-7940
Abstrakt:	Abstract: 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 differential equation for the Black-Scholes model using Hermite polynomials and for the Heston model using Hermite and Laguerre polynomials. We compare the obtained solutions to existing semi-closed pricing formulas. Special attention is paid to the solution of the Heston model at the boundary with vanishing volatility.
Databáze:	Katalog Knihovny AV ČR
Externí odkaz:	Plný text Full text from SpringerLink