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Persson, Jonas

Open this publication in new window or tab >>A highly accurate adaptive finite difference solver for the Black–Scholes equation### Linde, Gunilla

### Persson, Jonas

### von Sydow, Lina

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##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-85675 (URN)10.1080/00207160802140023 (DOI)000273521800008 ()
#####

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Available from: 2008-10-14 Created: 2008-10-29 Last updated: 2018-01-13Bibliographically approved

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.

Open this publication in new window or tab >>Improved radial basis function methods for multi-dimensional option pricing### Pettersson, Ulrika

### Larsson, Elisabeth

### Marcusson, Gunnar

### Persson, Jonas

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_1_j_idt195_some",{id:"formSmash:j_idt191:1:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_1_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_1_j_idt195_otherAuthors",{id:"formSmash:j_idt191:1:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_1_j_idt195_otherAuthors",multiple:true}); 2008 (English)In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 222, p. 82-93Article in journal (Refereed) Published
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-11845 (URN)10.1016/j.cam.2007.10.038 (DOI)000260709500007 ()
#####

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Available from: 2007-10-26 Created: 2008-10-01 Last updated: 2020-02-24Bibliographically approved

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.

Open this publication in new window or tab >>Pricing American options using a space-time adaptive finite difference method### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_2_j_idt195_some",{id:"formSmash:j_idt191:2:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_2_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_2_j_idt195_otherAuthors",{id:"formSmash:j_idt191:2:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_2_j_idt195_otherAuthors",multiple:true}); 2007 (English)Report (Other academic)
##### Series

Technical report / Department of Information Technology, Uppsala University, ISSN 1404-3203 ; 2007-004
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-23576 (URN)
#####

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Available from: 2007-02-01 Created: 2009-01-28 Last updated: 2018-01-12Bibliographically approved

Open this publication in new window or tab >>Pricing European multi-asset options using a space-time adaptive FD-method### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### von Sydow, Lina

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_3_j_idt195_some",{id:"formSmash:j_idt191:3:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_3_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_3_j_idt195_otherAuthors",{id:"formSmash:j_idt191:3:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_3_j_idt195_otherAuthors",multiple:true}); 2007 (English)In: Computing and Visualization in Science, ISSN 1432-9360, E-ISSN 1433-0369, Vol. 10, p. 173-183Article in journal (Refereed) Published
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-44304 (URN)10.1007/s00791-007-0072-y (DOI)
#####

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Available from: 2007-07-06 Created: 2007-09-05 Last updated: 2018-01-11Bibliographically approved

Open this publication in new window or tab >>Space-time adaptive finite difference method for European multi-asset options### Lötstedt, Per

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### von Sydow, Lina

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Tysk, Johan

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_4_j_idt195_some",{id:"formSmash:j_idt191:4:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_4_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_4_j_idt195_otherAuthors",{id:"formSmash:j_idt191:4:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_4_j_idt195_otherAuthors",multiple:true}); 2007 (English)In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 53, p. 1159-1180Article in journal (Refereed) Published
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-10726 (URN)10.1016/j.camwa.2006.09.014 (DOI)000247425100001 ()
#####

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Available from: 2007-04-09 Created: 2007-05-19 Last updated: 2018-01-12Bibliographically approved

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.

Open this publication in new window or tab >>Accurate Finite Difference Methods for Option Pricing### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_5_j_idt195_some",{id:"formSmash:j_idt191:5:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_5_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_5_j_idt195_otherAuthors",{id:"formSmash:j_idt191:5:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_5_j_idt195_otherAuthors",multiple:true}); 2006 (English)Doctoral thesis, comprehensive summary (Other academic)
##### Abstract [en]

##### Place, publisher, year, edition, pages

Uppsala: Acta Universitatis Upsaliensis, 2006. p. 70
##### Series

Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Science and Technology, ISSN 1651-6214 ; 206
##### Keywords

Finite differences, Option pricing, Adaptive methods
##### National Category

Computational Mathematics
##### Research subject

Numerical Analysis
##### Identifiers

urn:nbn:se:uu:diva-7097 (URN)91-554-6627-3 (ISBN)
##### Public defence

2006-09-29, Room 2446, Polacksbacken, Lägerhyddsvägen 2D, Uppsala, 10:15 (English)
##### Opponent

### Toivanen, Jari

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##### Supervisors

### von Sydow, Lina

### Lötstedt, Per

### Tysk, Johan

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_5_j_idt195_j_idt372",{id:"formSmash:j_idt191:5:j_idt195:j_idt372",widgetVar:"widget_formSmash_j_idt191_5_j_idt195_j_idt372",multiple:true});
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Available from: 2006-09-08 Created: 2006-09-08 Last updated: 2011-10-27Bibliographically approved

Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. For American options we use the adaptive technique to price options on one stock with and without stochastic volatility. In all these methods emphasis is put on the control of errors to fulfill predefined tolerance levels. The adaptive second order method is compared to an alternative discretization technique using radial basis functions. This method is not adaptive but shows potential in option pricing for one and several underlying assets. A finite difference method and a Monte Carlo method are applied to a new financial contract called Turbo warrant. A comparison of these two methods shows that for the case considered the finite difference method is superior.

North Carolina State University, Center for Research in Scientific Computation.

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing.

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing.

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematics.

Open this publication in new window or tab >>High-order adaptive space-discretizations for the Black-Scholes equation### Linde, Gunilla

### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### von Sydow, Lina

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_6_j_idt195_some",{id:"formSmash:j_idt191:6:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_6_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_6_j_idt195_otherAuthors",{id:"formSmash:j_idt191:6:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_6_j_idt195_otherAuthors",multiple:true}); 2006 (English)Report (Other academic)
##### Series

Technical report / Department of Information Technology, Uppsala University, ISSN 1404-3203 ; 2006-021
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-79980 (URN)
#####

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Available from: 2008-02-09 Created: 2008-02-09 Last updated: 2018-01-13Bibliographically approved

Open this publication in new window or tab >>Improved radial basis function methods for multi-dimensional option pricing### Pettersson, Ulrika

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Larsson, Elisabeth

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Marcusson, Gunnar

### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_7_j_idt195_some",{id:"formSmash:j_idt191:7:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_7_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_7_j_idt195_otherAuthors",{id:"formSmash:j_idt191:7:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_7_j_idt195_otherAuthors",multiple:true}); 2006 (English)Report (Other academic)
##### Series

Technical report / Department of Information Technology, Uppsala University, ISSN 1404-3203 ; 2006-028
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-80801 (URN)
#####

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Available from: 2008-02-13 Created: 2008-02-13 Last updated: 2018-01-13Bibliographically approved

Open this publication in new window or tab >>Pricing turbo warrants### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Eriksson, Jonatan

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_8_j_idt195_some",{id:"formSmash:j_idt191:8:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_8_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_8_j_idt195_otherAuthors",{id:"formSmash:j_idt191:8:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_8_j_idt195_otherAuthors",multiple:true}); 2006 (English)Report (Other academic)
##### Series

Technical report / Department of Information Technology, Uppsala University, ISSN 1404-3203 ; 2006-015
##### National Category

Computational Mathematics
##### Identifiers

urn:nbn:se:uu:diva-78924 (URN)
#####

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Available from: 2007-09-18 Created: 2007-09-18 Last updated: 2011-11-18Bibliographically approved

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.

Open this publication in new window or tab >>Option pricing using radial basis functions### Pettersson, Ulrika

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Larsson, Elisabeth

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.### Marcusson, Gunnar

### Persson, Jonas

Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_9_j_idt195_some",{id:"formSmash:j_idt191:9:j_idt195:some",widgetVar:"widget_formSmash_j_idt191_9_j_idt195_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_9_j_idt195_otherAuthors",{id:"formSmash:j_idt191:9:j_idt195:otherAuthors",widgetVar:"widget_formSmash_j_idt191_9_j_idt195_otherAuthors",multiple:true}); 2005 (English)In: Proc. ECCOMAS Thematic Conference on Meshless Methods, Lisboa, Portugal: Departamento de Matemática, Instituto Superior Técnico , 2005, p. C24.1-6Conference paper, Published paper (Refereed)
##### Place, publisher, year, edition, pages

Lisboa, Portugal: Departamento de Matemática, Instituto Superior Técnico, 2005
##### National Category

Computational Mathematics Computer Sciences
##### Identifiers

urn:nbn:se:uu:diva-78882 (URN)972-99289-1-6 (ISBN)
#####

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_9_j_idt195_j_idt366",{id:"formSmash:j_idt191:9:j_idt195:j_idt366",widgetVar:"widget_formSmash_j_idt191_9_j_idt195_j_idt366",multiple:true});
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PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_9_j_idt195_j_idt372",{id:"formSmash:j_idt191:9:j_idt195:j_idt372",widgetVar:"widget_formSmash_j_idt191_9_j_idt195_j_idt372",multiple:true});
#####

PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt191_9_j_idt195_j_idt378",{id:"formSmash:j_idt191:9:j_idt195:j_idt378",widgetVar:"widget_formSmash_j_idt191_9_j_idt195_j_idt378",multiple:true});
#####

Available from: 2006-05-20 Created: 2006-05-20 Last updated: 2018-01-13Bibliographically approved