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  • 1. Linde, Gunilla
    et al.
    Persson, Jonas
    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.
    A highly accurate adaptive finite difference solver for the Black–Scholes equation2009In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 86, p. 2104-2121Article in journal (Refereed)
  • 2. Linde, Gunilla
    et al.
    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.
    High-order adaptive space-discretizations for the Black-Scholes equation2006Report (Other academic)
  • 3.
    Lötstedt, Per
    et al.
    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
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Space-Time Adaptive Finite Difference Method for European Multi-Asset Options2004Report (Other academic)
  • 4.
    Lötstedt, Per
    et al.
    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
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Space-time adaptive finite difference method for European multi-asset options2007In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 53, p. 1159-1180Article in journal (Refereed)
  • 5.
    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.
    Accurate Finite Difference Methods for Option Pricing2006Doctoral 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.

    List of papers
    1. Pricing European multi-asset options using a space-time adaptive FD-method
    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
    2. Space-time adaptive finite difference method for European multi-asset options
    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
    3. A highly accurate adaptive finite difference solver for the Black–Scholes equation
    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
    4. 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
    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
    5. 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
    6. 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
  • 6.
    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.
    Pricing American options using a space-time adaptive finite difference method2007Report (Other academic)
  • 7.
    Persson, Jonas
    et al.
    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
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Pricing turbo warrants2006Report (Other academic)
  • 8.
    Persson, Jonas
    et al.
    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.
    Pricing European Multi-asset Options Using a Space-time Adaptive FD-method2003Report (Other academic)
  • 9.
    Persson, Jonas
    et al.
    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.
    Pricing European multi-asset options using a space-time adaptive FD-method2007In: Computing and Visualization in Science, ISSN 1432-9360, E-ISSN 1433-0369, Vol. 10, p. 173-183Article in journal (Refereed)
  • 10.
    Pettersson, Ulrika
    et al.
    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
    Improved radial basis function methods for multi-dimensional option pricing2008In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 222, p. 82-93Article in journal (Refereed)
  • 11.
    Pettersson, Ulrika
    et al.
    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.
    Improved radial basis function methods for multi-dimensional option pricing2006Report (Other academic)
  • 12.
    Pettersson, Ulrika
    et al.
    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.
    Option pricing using radial basis functions2005In: Proc. ECCOMAS Thematic Conference on Meshless Methods, Lisboa, Portugal: Departamento de Matemática, Instituto Superior Técnico , 2005, p. C24.1-6Conference paper (Refereed)
1 - 12 of 12
CiteExportLink to result list
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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