Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps

2018 ◽  
Vol 34 (6) ◽  
pp. 782-802
Author(s):  
Griselda Deelstra ◽  
Sinem Kozpınar ◽  
Matthieu Simon
Keyword(s):  
Option Pricing ◽  
Basket Option ◽  
Markov Modulated

Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model

2013 ◽  
Vol 756-759 ◽  
pp. 2739-2743
Author(s):  
Xiao Zhong Yang ◽  
Gao Xin Zhou
Keyword(s):  
Option Pricing ◽  
Operator Splitting ◽  
Stability And Convergence ◽  
Pricing Model ◽  
Explicit Schemes ◽  
Basket Option ◽  
Additive Operator ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Additive Operator Splitting

In order to solve Black-Scholes equation of basket option pricing model by numerical method. This paper used Additive Operator Splitting (AOS) algorithm to split the multi-dimensional Black-Scholes equation into equivalent one-dimensional equation set, and constructed 'Explicit-Implicit' and 'Implicit-Explicit' schemes to solve it. Then compatibility, stability and convergence of those schemes were analyzed. Finally, this paper compared computation time and precision of the schemes through numerical experiments. 'Explicit-Implicit' and 'Implicit-Explicit' schemes of AOS algorithms have both higher accuracy and faster computing speed and them have practical significance in solving basket option pricing model.

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