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Persson, Jonas
Publications (10 of 12) Show all publications
Linde, G., Persson, J. & von Sydow, L. (2009). A highly accurate adaptive finite difference solver for the Black–Scholes equation. International Journal of Computer Mathematics, 86, 2104-2121
Open this publication in new window or tab >>A highly accurate adaptive finite difference solver for the Black–Scholes equation
2009 (English)In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 86, p. 2104-2121Article in journal (Refereed) Published
National Category
Computational Mathematics Computer Sciences
Identifiers
urn:nbn:se:uu:diva-85675 (URN)10.1080/00207160802140023 (DOI)000273521800008 ()
Available from: 2008-10-14 Created: 2008-10-29 Last updated: 2018-01-13Bibliographically approved
Pettersson, U., Larsson, E., Marcusson, G. & Persson, J. (2008). Improved radial basis function methods for multi-dimensional option pricing. Journal of Computational and Applied Mathematics, 222, 82-93
Open this publication in new window or tab >>Improved radial basis function methods for multi-dimensional option pricing
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 ()
Available from: 2007-10-26 Created: 2008-10-01 Last updated: 2018-01-12Bibliographically approved
Persson, J. (2007). Pricing American options using a space-time adaptive finite difference method.
Open this publication in new window or tab >>Pricing American options using a space-time adaptive finite difference method
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)
Available from: 2007-02-01 Created: 2009-01-28 Last updated: 2018-01-12Bibliographically approved
Persson, J. & von Sydow, L. (2007). Pricing European multi-asset options using a space-time adaptive FD-method. Computing and Visualization in Science, 10, 173-183
Open this publication in new window or tab >>Pricing European multi-asset options using a space-time adaptive FD-method
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)
Available from: 2007-07-06 Created: 2007-09-05 Last updated: 2018-01-11Bibliographically approved
Lötstedt, P., Persson, J., von Sydow, L. & Tysk, J. (2007). Space-time adaptive finite difference method for European multi-asset options. Computers and Mathematics with Applications, 53, 1159-1180
Open this publication in new window or tab >>Space-time adaptive finite difference method for European multi-asset options
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 ()
Available from: 2007-04-09 Created: 2007-05-19 Last updated: 2018-01-12Bibliographically approved
Persson, J. (2006). Accurate Finite Difference Methods for Option Pricing. (Doctoral dissertation). Uppsala: Acta Universitatis Upsaliensis
Open this publication in new window or tab >>Accurate Finite Difference Methods for Option Pricing
2006 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

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.

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
Supervisors
Available from: 2006-09-08 Created: 2006-09-08 Last updated: 2011-10-27Bibliographically approved
Linde, G., Persson, J. & von Sydow, L. (2006). High-order adaptive space-discretizations for the Black-Scholes equation.
Open this publication in new window or tab >>High-order adaptive space-discretizations for the Black-Scholes equation
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)
Available from: 2008-02-09 Created: 2008-02-09 Last updated: 2018-01-13Bibliographically approved
Pettersson, U., Larsson, E., Marcusson, G. & Persson, J. (2006). Improved radial basis function methods for multi-dimensional option pricing.
Open this publication in new window or tab >>Improved radial basis function methods for multi-dimensional option pricing
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)
Available from: 2008-02-13 Created: 2008-02-13 Last updated: 2018-01-13Bibliographically approved
Persson, J. & Eriksson, J. (2006). Pricing turbo warrants.
Open this publication in new window or tab >>Pricing turbo warrants
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)
Available from: 2007-09-18 Created: 2007-09-18 Last updated: 2011-11-18Bibliographically approved
Pettersson, U., Larsson, E., Marcusson, G. & Persson, J. (2005). Option pricing using radial basis functions. In: Proc. ECCOMAS Thematic Conference on Meshless Methods (pp. C24.1-6). Lisboa, Portugal: Departamento de Matemática, Instituto Superior Técnico
Open this publication in new window or tab >>Option pricing using radial basis functions
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)
Available from: 2006-05-20 Created: 2006-05-20 Last updated: 2018-01-13Bibliographically approved
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