Full metadata record
| DC pole | Hodnota | Jazyk |
|---|---|---|
| dc.contributor.author | Baustian, Falko | - |
| dc.contributor.author | Filipová, Kateřina | - |
| dc.contributor.author | Pospíšil, Jan | - |
| dc.date.accessioned | 2022-01-31T11:00:24Z | - |
| dc.date.available | 2022-01-31T11:00:24Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.citation | BAUSTIAN, F. FILIPOVÁ, K. POSPÍŠIL, J. Solution of option pricing equations using orthogonal polynomial expansion. Applications of Mathematics, 2021, roč. 66, č. 4, s. 553-582. ISSN: 0862-7940 | cs |
| dc.identifier.issn | 0862-7940 | - |
| dc.identifier.uri | 2-s2.0-85103659388 | - |
| dc.identifier.uri | http://hdl.handle.net/11025/46650 | - |
| dc.format | 30 s. | cs |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | en |
| dc.publisher | Springer | en |
| dc.relation.ispartofseries | Applications of Mathematics | en |
| dc.rights | © Institute of Mathematics, Czech Academy of Sciences 2021 | en |
| dc.title | Solution of option pricing equations using orthogonal polynomial expansion | en |
| dc.type | postprint | cs |
| dc.type | postprint | en |
| dc.rights.access | openAccess | en |
| dc.type.version | acceptedVersion | en |
| dc.description.abstract-translated | In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial diferential equation for the Black-Scholes model using Hermite polynomials and for the Heston model using Hermite and Laguerre polynomials. We compare obtained solutions to existing semi-closed pricing formulas. Special attention is paid to the solution of Heston model at the boundary with vanishing volatility. | en |
| dc.subject.translated | orthogonal polynomial expansion | en |
| dc.subject.translated | Hermite polynomials | en |
| dc.subject.translated | Laguerre polynomials | en |
| dc.subject.translated | Heston model | en |
| dc.subject.translated | option pricing | en |
| dc.identifier.doi | 10.21136/AM.2021.0361-19 | - |
| dc.type.status | Peer-reviewed | en |
| dc.identifier.document-number | 636929700001 | - |
| dc.identifier.obd | 43927998 | - |
| dc.project.ID | GA18-16680S/Rough modely frakcionální stochastické volatility | cs |
| Vyskytuje se v kolekcích: | Články / Articles (KMA) OBD | |
Soubory připojené k záznamu:
| Soubor | Velikost | Formát | |
|---|---|---|---|
| BaustianFilipovaPospisil21am_accepted.pdf | 1,05 MB | Adobe PDF | Zobrazit/otevřít |
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