| Autor: |
Baustian, Falko, Filipová, Kateřina, Pospíšil, Jan |
| Rok vydání: |
2019 |
| Předmět: |
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| Zdroj: |
Applications of Mathematics, Volume 66 (4), pp. 553-582, 2021 |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.21136/AM.2021.0361-19 |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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