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Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models

dc.contributor.authorBurkovska, O.
dc.contributor.authorHaasdonk, Bernard
dc.contributor.authorSalomon, Julien
HAL ID: 738224
dc.contributor.authorWohlmuth, Barbara
dc.date.accessioned2014-08-27T08:01:24Z
dc.date.available2014-08-27T08:01:24Z
dc.date.issued2015
dc.identifier.issn1945-497X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13841
dc.language.isoenen
dc.subjectHeston model
dc.subjectBlack–Scholes model
dc.subjectReduced basis method
dc.subjectPricing options
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleReduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherFakultät Mathematik, Technische Universität München;Allemagne
dc.description.abstractenIn this paper, we present a reduced basis method for pricing European and Amer-ican options based on the Black-Scholes and Heston model. To tackle each model numerically, weformulate the problem in terms of a time dependent variational equality or inequality. We applya suitable reduced basis approach for both types of options. The characteristic ingredients used inthe method are a combined POD-Greedy and Angle-Greedy procedure for the construction of theprimal and dual reduced spaces. Analytically, we prove the reproduction property of the reducedscheme and derive a posteriori error estimators. Numerical examples are provided, illustrating theapproximation quality and convergence of our approach for the di erent option pricing models. Also,we investigate the reliability and e ectivity of the error estimators.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameSIAM Journal on Financial Mathematics
dc.relation.isversionofjnlvol6
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages685-712
dc.relation.isversionofdoi10.1137/140981216
dc.identifier.urlsitehttps://arxiv.org/abs/1408.1220v1
dc.relation.isversionofjnlpublisherSociety for Industrial and Applied Mathematics
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-11T14:12:58Z


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