A Spectral Element Method to Price Single and Multi-Asset European Options
We develop a spectral element method to price European options under the Black-Scholes model, Merton's jump diffusion model, and Heston's stochastic volatility model with one or two assets. The method uses piecewise high order Legendre polynomial expansions to approximate the option price...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-0513 |