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首页> 外文期刊>Discrete and continuous dynamical systems▼hSeries S >BARYCENTRIC SPECTRAL DOMAIN DECOMPOSITION METHODS FOR VALUING A CLASS OF INFINITE ACTIVITY LEVY MODELS
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BARYCENTRIC SPECTRAL DOMAIN DECOMPOSITION METHODS FOR VALUING A CLASS OF INFINITE ACTIVITY LEVY MODELS

机译：重心光谱域分解方法，用于评估一类无限活动征集模型

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摘要

A new barycentric spectral domain decomposition methods algorithm for solving partial integro-differential models is described. The method is applied to European and butterfly call option pricing problems under a class of infinite activity Levy models . It is based on the barycentric spectral domain decomposition methods which allows the implementation of the boundary conditions in an efficient way. After the approximation of the spatial derivatives, we obtained the semi-discrete equations. The computation of these equations is performed by using the barycentric spectral domain decomposition method. This is achieved with the implementation of an exponential time integration scheme. Several numerical tests for the pricing of European and butterfly options are given to illustrate the efficiency and accuracy of this new algorithm. We also show that Greek options, such as Delta and Gamma sensitivity, are computed with no spurious oscillation.
机译：描述了一种新的重心光谱域分解方法，用于求解部分积分差分模型。该方法应用于一类无限活动征集模型下的欧洲和蝴蝶呼叫期权定价问题。它基于重心光谱域分解方法，其允许以有效的方式实现边界条件。在空间衍生物的近似之后，我们获得了半离散方程。通过使用重心光谱域分解方法执行这些等式的计算。这是通过实现指数时间集成方案来实现的。给出了欧洲和蝴蝶选项定价的数值测试，以说明这种新算法的效率和准确性。我们还显示希腊选项，例如三角洲和伽玛灵敏度，没有杂散振荡。

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