A multiquadric quasi-interpolations method for CEV option pricing model

The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable an...
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Autor*in:	Zhang, Shengliang [verfasserIn] Yang, Hongqiang [verfasserIn] Yang, Yu [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2018

Schlagwörter:	Multiquadric quasi-interpolations Option pricing CEV model Greek letters

Übergeordnetes Werk:	Enthalten in: Journal of computational and applied mathematics - Amsterdam [u.a.] : North-Holland, 1975, 347, Seite 1-11
Übergeordnetes Werk:	volume:347 ; pages:1-11

DOI / URN:	10.1016/j.cam.2018.03.046

Katalog-ID:	ELV000969400

Internformat


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024	7		\|a 10.1016/j.cam.2018.03.046 \|2 doi
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245	1	0	\|a A multiquadric quasi-interpolations method for CEV option pricing model
264		1	\|c 2018
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337			\|a Computermedien \|b c \|2 rdamedia
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520			\|a The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model.
650		4	\|a Multiquadric quasi-interpolations
650		4	\|a Option pricing
650		4	\|a CEV model
650		4	\|a Greek letters
700	1		\|a Yang, Hongqiang \|e verfasserin \|4 aut
700	1		\|a Yang, Yu \|e verfasserin \|4 aut
773	0	8	\|i Enthalten in \|t Journal of computational and applied mathematics \|d Amsterdam [u.a.] : North-Holland, 1975 \|g 347, Seite 1-11 \|h Online-Ressource \|w (DE-627)266889204 \|w (DE-600)1468806-2 \|w (DE-576)075962373 \|7 nnns
773	1	8	\|g volume:347 \|g pages:1-11
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912			\|a GBV_ILN_24
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912			\|a GBV_ILN_32
912			\|a GBV_ILN_39
912			\|a GBV_ILN_40
912			\|a GBV_ILN_60
912			\|a GBV_ILN_62
912			\|a GBV_ILN_63
912			\|a GBV_ILN_65
912			\|a GBV_ILN_69
912			\|a GBV_ILN_70
912			\|a GBV_ILN_73
912			\|a GBV_ILN_74
912			\|a GBV_ILN_90
912			\|a GBV_ILN_95
912			\|a GBV_ILN_100
912			\|a GBV_ILN_105
912			\|a GBV_ILN_110
912			\|a GBV_ILN_150
912			\|a GBV_ILN_151
912			\|a GBV_ILN_161
912			\|a GBV_ILN_170
912			\|a GBV_ILN_213
912			\|a GBV_ILN_224
912			\|a GBV_ILN_230
912			\|a GBV_ILN_285
912			\|a GBV_ILN_293
912			\|a GBV_ILN_370
912			\|a GBV_ILN_602
912			\|a GBV_ILN_702
912			\|a GBV_ILN_2003
912			\|a GBV_ILN_2004
912			\|a GBV_ILN_2005
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912			\|a GBV_ILN_2014
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912			\|a GBV_ILN_2020
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912			\|a GBV_ILN_2025
912			\|a GBV_ILN_2027
912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2038
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2048
912			\|a GBV_ILN_2049
912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2056
912			\|a GBV_ILN_2059
912			\|a GBV_ILN_2061
912			\|a GBV_ILN_2064
912			\|a GBV_ILN_2065
912			\|a GBV_ILN_2068
912			\|a GBV_ILN_2111
912			\|a GBV_ILN_2112
912			\|a GBV_ILN_2113
912			\|a GBV_ILN_2118
912			\|a GBV_ILN_2122
912			\|a GBV_ILN_2129
912			\|a GBV_ILN_2143
912			\|a GBV_ILN_2147
912			\|a GBV_ILN_2148
912			\|a GBV_ILN_2152
912			\|a GBV_ILN_2153
912			\|a GBV_ILN_2190
912			\|a GBV_ILN_2336
912			\|a GBV_ILN_2507
912			\|a GBV_ILN_2522
912			\|a GBV_ILN_4012
912			\|a GBV_ILN_4035
912			\|a GBV_ILN_4037
912			\|a GBV_ILN_4112
912			\|a GBV_ILN_4125
912			\|a GBV_ILN_4126
912			\|a GBV_ILN_4242
912			\|a GBV_ILN_4249
912			\|a GBV_ILN_4251
912			\|a GBV_ILN_4305
912			\|a GBV_ILN_4306
912			\|a GBV_ILN_4307
912			\|a GBV_ILN_4313
912			\|a GBV_ILN_4322
912			\|a GBV_ILN_4323
912			\|a GBV_ILN_4324
912			\|a GBV_ILN_4325
912			\|a GBV_ILN_4326
912			\|a GBV_ILN_4333
912			\|a GBV_ILN_4334
912			\|a GBV_ILN_4335
912			\|a GBV_ILN_4338
912			\|a GBV_ILN_4367
912			\|a GBV_ILN_4392
912			\|a GBV_ILN_4393
912			\|a GBV_ILN_4700
936	b	k	\|a 31.00 \|j Mathematik: Allgemeines
951			\|a AR
952			\|d 347 \|h 1-11

Indexfelder

author_variant	s z sz h y hy y y yy
matchkey_str	zhangshengliangyanghongqiangyangyu:2018----:mliudiqainepltosehdocv
hierarchy_sort_str	2018
bklnumber	31.00
publishDate	2018
allfields	10.1016/j.cam.2018.03.046 doi (DE-627)ELV000969400 (ELSEVIER)S0377-0427(18)30227-9 DE-627 ger DE-627 rda eng 510 DE-600 31.00 bkl Zhang, Shengliang verfasserin aut A multiquadric quasi-interpolations method for CEV option pricing model 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model. Multiquadric quasi-interpolations Option pricing CEV model Greek letters Yang, Hongqiang verfasserin aut Yang, Yu verfasserin aut Enthalten in Journal of computational and applied mathematics Amsterdam [u.a.] : North-Holland, 1975 347, Seite 1-11 Online-Ressource (DE-627)266889204 (DE-600)1468806-2 (DE-576)075962373 nnns volume:347 pages:1-11 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 31.00 Mathematik: Allgemeines AR 347 1-11
spelling	10.1016/j.cam.2018.03.046 doi (DE-627)ELV000969400 (ELSEVIER)S0377-0427(18)30227-9 DE-627 ger DE-627 rda eng 510 DE-600 31.00 bkl Zhang, Shengliang verfasserin aut A multiquadric quasi-interpolations method for CEV option pricing model 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model. Multiquadric quasi-interpolations Option pricing CEV model Greek letters Yang, Hongqiang verfasserin aut Yang, Yu verfasserin aut Enthalten in Journal of computational and applied mathematics Amsterdam [u.a.] : North-Holland, 1975 347, Seite 1-11 Online-Ressource (DE-627)266889204 (DE-600)1468806-2 (DE-576)075962373 nnns volume:347 pages:1-11 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 31.00 Mathematik: Allgemeines AR 347 1-11
allfields_unstemmed	10.1016/j.cam.2018.03.046 doi (DE-627)ELV000969400 (ELSEVIER)S0377-0427(18)30227-9 DE-627 ger DE-627 rda eng 510 DE-600 31.00 bkl Zhang, Shengliang verfasserin aut A multiquadric quasi-interpolations method for CEV option pricing model 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model. Multiquadric quasi-interpolations Option pricing CEV model Greek letters Yang, Hongqiang verfasserin aut Yang, Yu verfasserin aut Enthalten in Journal of computational and applied mathematics Amsterdam [u.a.] : North-Holland, 1975 347, Seite 1-11 Online-Ressource (DE-627)266889204 (DE-600)1468806-2 (DE-576)075962373 nnns volume:347 pages:1-11 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 31.00 Mathematik: Allgemeines AR 347 1-11
allfieldsGer	10.1016/j.cam.2018.03.046 doi (DE-627)ELV000969400 (ELSEVIER)S0377-0427(18)30227-9 DE-627 ger DE-627 rda eng 510 DE-600 31.00 bkl Zhang, Shengliang verfasserin aut A multiquadric quasi-interpolations method for CEV option pricing model 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model. Multiquadric quasi-interpolations Option pricing CEV model Greek letters Yang, Hongqiang verfasserin aut Yang, Yu verfasserin aut Enthalten in Journal of computational and applied mathematics Amsterdam [u.a.] : North-Holland, 1975 347, Seite 1-11 Online-Ressource (DE-627)266889204 (DE-600)1468806-2 (DE-576)075962373 nnns volume:347 pages:1-11 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 31.00 Mathematik: Allgemeines AR 347 1-11
allfieldsSound	10.1016/j.cam.2018.03.046 doi (DE-627)ELV000969400 (ELSEVIER)S0377-0427(18)30227-9 DE-627 ger DE-627 rda eng 510 DE-600 31.00 bkl Zhang, Shengliang verfasserin aut A multiquadric quasi-interpolations method for CEV option pricing model 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model. Multiquadric quasi-interpolations Option pricing CEV model Greek letters Yang, Hongqiang verfasserin aut Yang, Yu verfasserin aut Enthalten in Journal of computational and applied mathematics Amsterdam [u.a.] : North-Holland, 1975 347, Seite 1-11 Online-Ressource (DE-627)266889204 (DE-600)1468806-2 (DE-576)075962373 nnns volume:347 pages:1-11 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 31.00 Mathematik: Allgemeines AR 347 1-11
language	English
source	Enthalten in Journal of computational and applied mathematics 347, Seite 1-11 volume:347 pages:1-11
sourceStr	Enthalten in Journal of computational and applied mathematics 347, Seite 1-11 volume:347 pages:1-11
format_phy_str_mv	Article
bklname	Mathematik: Allgemeines
institution	findex.gbv.de
topic_facet	Multiquadric quasi-interpolations Option pricing CEV model Greek letters
dewey-raw	510
isfreeaccess_bool	false
container_title	Journal of computational and applied mathematics
authorswithroles_txt_mv	Zhang, Shengliang @@aut@@ Yang, Hongqiang @@aut@@ Yang, Yu @@aut@@
publishDateDaySort_date	2018-01-01T00:00:00Z
hierarchy_top_id	266889204
dewey-sort	3510
id	ELV000969400
language_de	englisch
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author	Zhang, Shengliang
spellingShingle	Zhang, Shengliang ddc 510 bkl 31.00 misc Multiquadric quasi-interpolations misc Option pricing misc CEV model misc Greek letters A multiquadric quasi-interpolations method for CEV option pricing model
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topic_title	510 DE-600 31.00 bkl A multiquadric quasi-interpolations method for CEV option pricing model Multiquadric quasi-interpolations Option pricing CEV model Greek letters
topic	ddc 510 bkl 31.00 misc Multiquadric quasi-interpolations misc Option pricing misc CEV model misc Greek letters
topic_unstemmed	ddc 510 bkl 31.00 misc Multiquadric quasi-interpolations misc Option pricing misc CEV model misc Greek letters
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title	A multiquadric quasi-interpolations method for CEV option pricing model
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title_full	A multiquadric quasi-interpolations method for CEV option pricing model
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title_sort	a multiquadric quasi-interpolations method for cev option pricing model
title_auth	A multiquadric quasi-interpolations method for CEV option pricing model
abstract	The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model.
abstractGer	The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model.
abstract_unstemmed	The pricing of option contracts when the underlying process follows the constant elasticity of variance (CEV) model is considered. For CEV European options, the closed-form solutions involve the non-central chi-square distribution, whose computations by the current literatures are rather unstable and extremely expensive. Based on multiquadric quasi-interpolation methods, this study suggests a stable and fast numerical algorithm for CEV option pricing model. The method is confirmed to be a multinomial tree, in which the underlying variable moves from its initial value to an infinity of possible values of the next time step. The probabilities in the associated tree are ensured to be positive, which is a sufficient condition for stability and convergence. The method is flexible, since it is simple to implement with the nonuniform knots. Moreover, the method is easy to value the Greek letters which are important parameters in financial engineering, as the multiquadric function is infinitely continuously differentiable. Besides, the method does not require solving a resultant full matrix, the ill-conditioning problem arising when using the radial basis functions as a global interpolant can be avoided. Numerical experiments imply that the method is highly effective to calculate the stock options and its Greeks under the CEV model.
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title_short	A multiquadric quasi-interpolations method for CEV option pricing model
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up_date	2024-07-06T19:46:58.190Z
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A multiquadric quasi-interpolations method for CEV option pricing model

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