Exponential time integration and Chebychev discretisation schemes for fast pricing of options

Applied Numerical Mathematics

Volumn 58, Issue 9, 2008, Pages 1309-1319

  Tangman, D Y ^a   Gopaul, A ^a   Bhuruth, M ^a  

^a UNIVERSITY OF MAURITIUS   (Mauritius)

Author keywords

Exponential time differencing; Integro differential equations; Jump diffusion processes; Option pricing; Spectral methods

Indexed keywords

BOUNDARY CONDITIONS; BOUNDARY VALUE PROBLEMS;

BLACK-SCHOLES; BOUNDARY CONDITIONING; CONSTANT COEFFICIENTS; CRANK-NICOLSON SCHEME; DISCRETISATION; EUROPEAN; EXPONENTIAL TIME; EXPONENTIAL TIME DIFFERENCING; GEOMETRIC BROWNIAN MOTION; INTEGRO-DIFFERENTIAL EQUATIONS; JUMP DIFFUSION MODELS; JUMP-DIFFUSION PROCESSES; OPTION PRICING; PRICING OF OPTIONS; SECOND-ORDER ACCURACY; SPECIAL TREATMENTS; SPECTRAL METHODS; TIME STEPPING;

BROWNIAN MOVEMENT;

EID: 48249152125     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apnum.2007.07.005     Document Type: Article

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