制度转换模型下期权定价的 Legendre-Galerkin 光谱法

IF 1.4 Q2 MATHEMATICS, APPLIED
Abdelmajid Ezzine, Abdellah Alla, Nadia Raissi
{"title":"制度转换模型下期权定价的 Legendre-Galerkin 光谱法","authors":"Abdelmajid Ezzine,&nbsp;Abdellah Alla,&nbsp;Nadia Raissi","doi":"10.1016/j.rinam.2024.100505","DOIUrl":null,"url":null,"abstract":"<div><div>The aim of this paper is to investigate an efficient spectral method for pricing European call options under regime-switching models. The main characteristic of this model is to incorporate the change in behavior of the underlying assets depending on different market states. The option pricing problem is modeled as a system of coupled Black–Scholes PDEs. The spatial discretization of the problem is performed using the Legendre–Galerkin spectral method based on Fourier-like basis functions, while the temporal discretization is based on a Crank–Nicolson scheme. Furthermore, the stability and convergence analysis are carried out for both the semi-and fully discretization of the resulted coupled PDE system. Finally, numerical experiments are illustrated to demonstrate the practical application potential of the discussed approach and its efficiency in real world cases.</div></div>","PeriodicalId":36918,"journal":{"name":"Results in Applied Mathematics","volume":"24 ","pages":"Article 100505"},"PeriodicalIF":1.4000,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Legendre–Galerkin spectral method for option pricing under regime switching models\",\"authors\":\"Abdelmajid Ezzine,&nbsp;Abdellah Alla,&nbsp;Nadia Raissi\",\"doi\":\"10.1016/j.rinam.2024.100505\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>The aim of this paper is to investigate an efficient spectral method for pricing European call options under regime-switching models. The main characteristic of this model is to incorporate the change in behavior of the underlying assets depending on different market states. The option pricing problem is modeled as a system of coupled Black–Scholes PDEs. The spatial discretization of the problem is performed using the Legendre–Galerkin spectral method based on Fourier-like basis functions, while the temporal discretization is based on a Crank–Nicolson scheme. Furthermore, the stability and convergence analysis are carried out for both the semi-and fully discretization of the resulted coupled PDE system. Finally, numerical experiments are illustrated to demonstrate the practical application potential of the discussed approach and its efficiency in real world cases.</div></div>\",\"PeriodicalId\":36918,\"journal\":{\"name\":\"Results in Applied Mathematics\",\"volume\":\"24 \",\"pages\":\"Article 100505\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2024-10-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Results in Applied Mathematics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S259003742400075X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Results in Applied Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S259003742400075X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0

摘要

本文旨在研究制度转换模型下欧式看涨期权定价的有效光谱方法。该模型的主要特点是结合了标的资产在不同市场状态下的行为变化。期权定价问题被建模为一个耦合的 Black-Scholes PDEs 系统。问题的空间离散化采用基于傅立叶类基函数的 Legendre-Galerkin 光谱法,而时间离散化则采用 Crank-Nicolson 方案。此外,还对半离散化和完全离散化后的耦合 PDE 系统进行了稳定性和收敛性分析。最后,通过数值实验说明了所讨论方法的实际应用潜力及其在实际案例中的效率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Legendre–Galerkin spectral method for option pricing under regime switching models
The aim of this paper is to investigate an efficient spectral method for pricing European call options under regime-switching models. The main characteristic of this model is to incorporate the change in behavior of the underlying assets depending on different market states. The option pricing problem is modeled as a system of coupled Black–Scholes PDEs. The spatial discretization of the problem is performed using the Legendre–Galerkin spectral method based on Fourier-like basis functions, while the temporal discretization is based on a Crank–Nicolson scheme. Furthermore, the stability and convergence analysis are carried out for both the semi-and fully discretization of the resulted coupled PDE system. Finally, numerical experiments are illustrated to demonstrate the practical application potential of the discussed approach and its efficiency in real world cases.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Results in Applied Mathematics
Results in Applied Mathematics Mathematics-Applied Mathematics
CiteScore
3.20
自引率
10.00%
发文量
50
审稿时长
23 days
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信