dc.contributor.author | Balajewicz, Maciej | |
dc.contributor.author | Toivanen, Jari | |
dc.date.accessioned | 2017-05-31T12:07:16Z | |
dc.date.available | 2019-01-20T22:35:32Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Balajewicz, M., & Toivanen, J. (2017). Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models. <i>Journal of Computational Science</i>, <i>20</i>, 198-204. <a href="https://doi.org/10.1016/j.jocs.2017.01.004" target="_blank">https://doi.org/10.1016/j.jocs.2017.01.004</a> | |
dc.identifier.other | CONVID_26496934 | |
dc.identifier.other | TUTKAID_72708 | |
dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/54219 | |
dc.description.abstract | European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a given model parameter variation range. | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.relation.ispartofseries | Journal of Computational Science | |
dc.subject.other | reduced order model | |
dc.subject.other | option pricing | |
dc.subject.other | European option | |
dc.subject.other | American option | |
dc.subject.other | linear complementary problem | |
dc.title | Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models | |
dc.type | article | |
dc.identifier.urn | URN:NBN:fi:jyu-201705302571 | |
dc.contributor.laitos | Informaatioteknologian tiedekunta | fi |
dc.contributor.laitos | Faculty of Information Technology | en |
dc.contributor.oppiaine | Tietotekniikka | fi |
dc.contributor.oppiaine | Mathematical Information Technology | en |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
dc.date.updated | 2017-05-30T12:15:20Z | |
dc.type.coar | journal article | |
dc.description.reviewstatus | peerReviewed | |
dc.format.pagerange | 198-204 | |
dc.relation.issn | 1877-7503 | |
dc.relation.numberinseries | 0 | |
dc.relation.volume | 20 | |
dc.type.version | acceptedVersion | |
dc.rights.copyright | © 2017 Elsevier B.V. This is a final draft version of an article whose final and definitive form has been published by Elsevier. Published in this repository with the kind permission of the publisher. | |
dc.rights.accesslevel | openAccess | fi |
dc.relation.doi | 10.1016/j.jocs.2017.01.004 | |