uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Space-time adaptive finite difference method for European multi-asset options
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. (ndim)
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. (ndim)
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. (ndim)
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
2007 (English)In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 53, 1159-1180 p.Article in journal (Refereed) Published
Place, publisher, year, edition, pages
2007. Vol. 53, 1159-1180 p.
National Category
Computational Mathematics Computer Science
Identifiers
URN: urn:nbn:se:uu:diva-10726DOI: 10.1016/j.camwa.2006.09.014ISI: 000247425100001OAI: oai:DiVA.org:uu-10726DiVA: diva2:38494
Available from: 2007-04-09 Created: 2007-05-19 Last updated: 2017-12-11Bibliographically approved
In thesis
1. Accurate Finite Difference Methods for Option Pricing
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. 70 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Science and Technology, ISSN 1651-6214 ; 206
Keyword
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

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Lötstedt, PerPersson, Jonasvon Sydow, LinaTysk, Johan

Search in DiVA

By author/editor
Lötstedt, PerPersson, Jonasvon Sydow, LinaTysk, Johan
By organisation
Division of Scientific ComputingNumerical AnalysisAnalysis and Applied Mathematics
In the same journal
Computers and Mathematics with Applications
Computational MathematicsComputer Science

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 680 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf