An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
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| Publicado en: | Numerical Algorithms vol. 98, no. 1 (Jan 2025), p. 287 |
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| Publicado: |
Springer Nature B.V.
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| Materias: | |
| Acceso en línea: | Citation/Abstract Full Text Full Text - PDF |
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| 024 | 7 | |a 10.1007/s11075-024-01794-z |2 doi | |
| 035 | |a 3151016004 | ||
| 045 | 2 | |b d20250101 |b d20250131 | |
| 245 | 1 | |a An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model | |
| 260 | |b Springer Nature B.V. |c Jan 2025 | ||
| 513 | |a Journal Article | ||
| 520 | 3 | |a This study focuses on the valuation of geometric Asian power options and presents an efficient numerical algorithm for solving the option price PDE. The analytical methodology utilizes the fractional Ito formula and replicating portfolio techniques to derive a PDE that characterizes the option price. However, due to the lack of an analytical solution for this PDE, a numerical method is proposed to solve it. The numerical solution involves implementing a time-semi-discrete scheme obtained through forward time difference approximation, while the other derivatives in the equation are approximated using cubic B-spline quasi-interpolation approximation. By employing the respective scheme and incorporating the initial and boundary conditions, the numerical solution for the equation is obtained. Subsequently, the stability of the method is investigated, and numerical results are presented. The main advantages of the presented method are its simplicity for computer implementation and its suitability for multi-dimensional problems. | |
| 653 | |a Accuracy | ||
| 653 | |a Computers | ||
| 653 | |a Hedging | ||
| 653 | |a Partial differential equations | ||
| 653 | |a Mathematical analysis | ||
| 653 | |a Brownian motion | ||
| 653 | |a Numerical analysis | ||
| 653 | |a Boundary conditions | ||
| 653 | |a Exact solutions | ||
| 653 | |a Approximation | ||
| 653 | |a Stochastic models | ||
| 653 | |a Algorithms | ||
| 653 | |a Methods | ||
| 653 | |a Numerical methods | ||
| 653 | |a Put & call options | ||
| 773 | 0 | |t Numerical Algorithms |g vol. 98, no. 1 (Jan 2025), p. 287 | |
| 786 | 0 | |d ProQuest |t Engineering Database | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/3151016004/abstract/embedded/L8HZQI7Z43R0LA5T?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text |u https://www.proquest.com/docview/3151016004/fulltext/embedded/L8HZQI7Z43R0LA5T?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text - PDF |u https://www.proquest.com/docview/3151016004/fulltextPDF/embedded/L8HZQI7Z43R0LA5T?source=fedsrch |