User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Hepperger, P. 
Title:
Option pricing in Hilbert space valued jump-diffusion models using partial integro-differential equations 
Abstract:
Hilbert space-valued jump-diffusion models are employed for various markets and derivatives. Examples include swaptions, which depend on continuous forward curves, and basket options on stocks. Usually, no analytical pricing formulas are available for such products. Numerical methods, on the other hand, suffer from exponentially increasing computational effort with increasing dimension of the problem, the “curse of dimension.” In this paper, we present an efficient approach using par...    »
 
Journal title:
SIAM Journal on Financial Mathematics 
Year:
2010 
Journal volume:
Journal issue:
Pages contribution:
454-489 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text