This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Model Reduction Methods In Option Pricing

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Antonio Falcó () (Universidad CEU Cardenal Herrera)
Francisco Chinesta () (CNRS-ENSAM-ESEM)
Mariano González () (Universidad CEU San Pablo)

Additional information is available for the following registered author(s):

Abstract

In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one–dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier Options. In a finitedimension setting, we show the model reduction method for Finite Differenceschemes of implicit type. In particular, we construct the reduced version of theCrank–Nicolson scheme and some numerical examples are given.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-16.pdf
File Format: application/pdf
File Function: Fisrt version / Primera version, 2006
Download Restriction: no

Publisher Info
Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2006-16.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 27 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2006-16

Contact details of provider:
Postal: C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA
Phone: +34 96 319 00 50
Fax: +34 96 319 00 55
Email:
Web page: http://www.ivie.es/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Departamento de Edición).

Related research
Keywords: Model Reduction; Proper Orthogonal Decomposition; Finite Difference Schemes; Crank–Nicolson Scheme.;

Find related papers by JEL classification:
G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Social Responsibility
M42 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Auditing

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? Want to help out with this project? Look for volunteer opportunities.

This page was last updated on 2009-12-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.