Option Pricing Under GARCH Processes Using PDE Methods

被引：12
作者：
Breton, Michele [1 ,2 ]
de Frutos, Javier [3 ,4 ]
机构：
[1] Gerad, Quebec City, PQ H3T 2A7, Canada
[2] HEC Montreal, Quebec City, PQ H3T 2A7, Canada
[3] Gerad, Valladolid, Spain
[4] Univ Valladolid, Dept Matemat Aplicada, Valladolid, Spain
来源：
OPERATIONS RESEARCH | 2010年 / 58卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
SIMULATION;
D O I：
10.1287/opre.1100.0822
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process. Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods. Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of precision in a few seconds of computing time.
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页码：1148 / 1157
页数：10
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