Related papers: On Sparse Grid Interpolation for American Option P…
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for…
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrates continuous dynamics with discrete jump processes. Standard…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…
A number of Bermudan option pricing methods that are applicable to options on multiple assets are studied in this thesis, one of the dominating questions being the natural scaling needed to extrapolate from Bermudan to American (both…
In some cases, computational benefit can be gained by exploring the hyper parameter space using a deterministic set of grid points instead of a Markov chain. We view this as a numerical integration problem and make three unique…
We propose a model order reduction approach for non-intrusive surrogate modeling of parametric dynamical systems. The reduced model over the whole parameter space is built by combining surrogates in frequency only, built at few selected…
In the paper we consider the problem of valuation and hedging of American options written on dividend-paying assets whose price dynamics follow the multidimensional diffusion model. We derive a stochastic balance equation for the American…
In this paper we present an algorithm for adaptive sparse grid approximations of quantities of interest computed from discretized partial differential equations. We use adjoint-based a posteriori error estimates of the physical…
Kernel based regularized interpolation is a well known technique to approximate a continuous multivariate function using a set of scattered data points and the corresponding function evaluations, or data values. This method has some…
We present a new rational approximation algorithm based on the empirical interpolation method for interpolating a family of parametrized functions to rational polynomials with invariant poles, leading to efficient numerical algorithms for…
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We…
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem were developed techniques for modeling…
Sparse arrays have been widely exploited in radar systems because of their advantages in achieving large array aperture at low hardware cost, while significantly reducing mutual coupling. However, sparse arrays suffer from high sidelobes…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
When approximating the expectations of a functional of a solution to a stochastic differential equation, the numerical performance of deterministic quadrature methods, such as sparse grid quadrature and quasi-Monte Carlo (QMC) methods, may…
Consider a sparse polynomial in several variables given explicitly as a sum of non-zero terms with coefficients in an effective field. In this paper, we present several algorithms for factoring such polynomials and related tasks (such as…
To interpolate a supersparse polynomial with integer coefficients, two alternative approaches are the Prony-based "big prime" technique, which acts over a single large finite field, or the more recently-proposed "small primes" technique,…