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Fast deterministic pricing of options on Lévy driven assets
(2002)SAM Research ReportArbitrage-free prices $u$ of European contracts on risky assets whose logreturns are modelled by Lévy processes satisfy a parabolic parabolic partial integrodifferential equation (PIDE) $\partial_t u + {\mathcal{A}}[u] = 0$. This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the $\theta$-scheme in time and a wavelet Galerkin method with $N$ degrees of freedom ...Report