Pricing Options under Levy models using Spectral methods
Spectral methods have been actively developed in the last decades. The main advantage of these methods is to yield exponential order of accuracy when the function is smooth. However, for discontinuous functions, their accuracy deteriorates due to the Gibbs phenomenon. When functions are contamin...
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| Language: | en |
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University of Pretoria
2017
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| Online Access: | http://hdl.handle.net/2263/63365 Youbi, F 2017, Pricing Options under Levy models using Spectral methods, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/63365> |