Wavelet Galerkin pricing of American options on Lévy driven assets

By Ana-Maria Matache, Pál-Andrej Nitsche, Christoph Schwab. 2005

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f0b9f37e51f7508a4a10b1aa3b8da6aa78e0b57f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peter A. Forsyth
2. S. Clift
3. Alexander Szimayer
4. Justin W. L. Wan
5. Iris R. Wang
6. Ross Maller
7. David H. Solomon
8. Tobias von Petersdorff

In Finance

1. S. Clift
2. Peter A. Forsyth
3. Alexander Szimayer
4. Justin W. L. Wan
5. Iris R. Wang
6. Ross Maller
7. David H. Solomon
8. Tobias von Petersdorff

Citations in the corpus

• The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing (2011, unknown): “used among others by Matache, Nitsche and Schwab (2004) are more recent specifications with these”
• Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “Wavelet methods for implicit solution of single factor infinite activity jump diffusion problems were developed in [37, 35, 36].”
• Robust numerical valuation of European and American options under the CGMY process (2007, methodology): “In [16], a Wavelet-Galerkin finite element approach is used to price options under an infinite activity process.”
• Fast deterministic pricing of options on Lévy driven assets (2002, methodology): “Our solution algorithm aims at American put and Barrier options (see [30]).”
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (2006, methodology): “…setup to partial differential calculus; and we expect that convergence rates for the multinomial method might be established by invoking results of Matache et al. (2005), who studied the pricing of American options in a general Lévy process setting via partialintegro differential inequality…”
• Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”