کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4642014 1341326 2009 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Calibration of options on a reduced basis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Calibration of options on a reduced basis
چکیده انگلیسی

Calibration of models is an important step in financial engineering. However it can be costly, especially in view of the increasing complexity of the models.In this paper we explore the use of reduced basis as is done in fluid mechanics for the Navier–Stokes equations or as proposed by Maday, Patera and Turinici [Y. Maday et al., A priori convergence theory for reduced-basis approximations of single-parameter elliptic partial differential equations, J. Sci. Comput. 17 (1–4) (2002) 437–446]. It is shown that the method works well if we use convex combination of the basis functions instead of the more general linear combination; however, while this idea makes sense in view of the properties of the Black–Scholes equation, we have no proof to general linear combination; however, while this idea makes sense in view of the properties of the Black–Scholes equation, we have no proof to justify it mathematically.The paper presents a numerical investigation of the problem posed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 232, Issue 1, 1 October 2009, Pages 139–147
نویسندگان
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