A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

Moutsinga Claude Rodrigue Bambe; Pindza Edson; Mare Eben

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A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

机译：用于评估仿射随机波动性和跳跃扩散模型的时间多畴光谱法

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The general form of existing multivariate are based on stochastic volatility and jump diffusion models. These models typically lead to the need of solving systems of stiff Riccati differential equations. In this paper, we propose a time spectral domain decomposition method for solving systems of stiff Riccati differential equations. The technique is applied to solving stiff diffusion model problems found in oil pricing, interest rate and electricity models. Numerical methods show that the present approach is efficient, highly accurate and a good alternative to the existing numerical methods. (C) 2019 Elsevier B.V. All rights reserved.

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《Communications in Nonlinear Science and Numerical Simulation》 |2020年第5期|105159.1-105159.16|共16页
作者
Moutsinga Claude Rodrigue Bambe; Pindza Edson; Mare Eben;
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作者单位

Univ Pretoria Dept Math & Appl Math ZA-002 Pretoria South Africa;

Univ Pretoria Dept Math & Appl Math ZA-002 Pretoria South Africa|Achieversklub Sch Cryptocurrency & Entrepreneursh 1 Sturdee Ave ZA-2196 Johannesburg South Africa;

Univ Pretoria Dept Math & Appl Math ZA-002 Pretoria South Africa;

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正文语种 eng
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关键词
Stochastic volatility; Affine jump diffusion; Correlated state process; Poisson process; Time-spectral method; Domain decomposition;

机译：随机挥发性;仿射跳跃扩散;相关状态过程;泊松过程;时间谱法;域分解;

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专利

1. Adaptive MCMC methods for inference on affine stochastic volatility models with jumps [J] . DAVIDE RAGGI The econometrics journal . 2005,第2期

机译：带有跳的仿射随机波动率模型的自适应MCMC方法
2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility [J] . Elisa Alòs, Jorge A. León, Josep Vives Finance and Stochastics . 2007,第4期

机译：具有随机波动率的跳跃扩散模型隐含波动率的短时行为
3. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility [J] . Elisa Alos, JorgeA.Leon, Monique Pontier, Journal of applied mathematics and stochastic analysis: J.A.M.S.A . 2008,第2期

机译：一般随机波动率跳跃扩散模型的Hull和White公式及其在隐含波动率短时行为研究中的应用
4. Option Pricing for a Stochastic-Volatility Jump-Diffusion Model with Log-Uniform Jump-Amplitudes [C] . Guoqing Yan, Floyd B. Hanson, The Institute of Electrical and Electronics EngineersInc. American Control Conference . 2006

机译：具有对数均匀跳高幅度的随机波动率跳转模型的选项定价
5. Exact simulation of financial models with stochastic volatility and jumps, and lattice methods for corporate debt pricing. [D] . Kaya, Ozgur. 2005

机译：具有随机波动性和跳跃性的财务模型的精确模拟，以及用于公司债务定价的格方法。
6. Stochastic θ-Methods for a Class of Jump-Diffusion Stochastic Pantograph Equations with Random Magnitude [O] . Hua Yang, Feng Jiang -1

机译：一类具有随机幅度的跳跃扩散随机受电弓方程的随机θ方法
7. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility [O] . Elisa Alòs, Jorge León, Josep Vives 2007

机译：具有随机波动率的跳跃扩散模型隐含波动率的短时行为

A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

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