Wavelet Galerkin pricing of American options on Lévy driven assets
dc.contributor.author
Matache, Ana-Maria
dc.contributor.author
Nitsche, Pal-Andrej
dc.contributor.author
Schwab, Christoph
dc.date.accessioned
2022-08-26T13:47:23Z
dc.date.available
2017-06-13T04:17:19Z
dc.date.available
2022-08-26T13:46:35Z
dc.date.available
2022-08-26T13:47:23Z
dc.date.issued
2003-07
dc.identifier.uri
http://hdl.handle.net/20.500.11850/147515
dc.identifier.doi
10.3929/ethz-a-004570535
dc.description.abstract
The price of an American style contract on assets driven by Lévy processes with infinite jump activity is expressed as solution of a parabolic variational integro-differential inequality (PIDI). A Galerkin discretization in logarithmic price using a wavelet basis is presented with compression of the moment matrix of the jump part of the price process' Dynkin operator. An iterative solver with wavelet preconditioning for the resulting large matrix inequality problems is presented and its efficiency is demonstrated by numerical experiments.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Seminar for Applied Mathematics, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Lévy processes
en_US
dc.subject
integro-differential operators
en_US
dc.subject
variational inequalities
en_US
dc.subject
Galerkin discretization
en_US
dc.subject
bi-orthogonal wavelet basis
en_US
dc.subject
wavelet preconditioning
en_US
dc.title
Wavelet Galerkin pricing of American options on Lévy driven assets
en_US
dc.type
Report
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
SAM Research Report
ethz.journal.volume
2003-06
en_US
ethz.size
35 p.
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
en_US
ethz.identifier.url
https://math.ethz.ch/sam/research/reports.html?id=318
ethz.date.deposited
2017-06-13T04:18:30Z
ethz.source
ECOL
ethz.identifier.importid
imp59366a6f340c032530
ethz.ecolpid
eth:26547
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-15T18:11:25Z
ethz.rosetta.lastUpdated
2024-02-02T17:56:33Z
ethz.rosetta.versionExported
true
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