Spectral Methods in Derivatives Pricing

By Vadim Linetsky. 2007

65 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/48a75854f7fc57b6652abdc44b78ed1199c11213

Citations in the corpus

• Time-changed CIR default intensities with two-sided mean-reverting jumps (2014, unknown): “Surveys of applications of the spectral expansion method to diffusion models in finance can be found in Li and Linetsky (2004, 2008), where an extensive bibliography is given.”
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, methodology): “The eigenfunction expansion method is a powerful tool for pricing contingent claims written on symmetric Markov processes (see Linetsky 2004, 2007 for surveys).”
• Error analysis of finite difference and Markov chain approximations for option pricing (2018, unknown): “Under the Black–Scholes model, the exact and the approximate eigenvalues and eigenfunctions have explicit expressions (see Davydov & Linetsky, 2003, proposition 2; Li & Zhang, 2016, remark 5).”