Efficient PDE methods for multivariate option pricing

Stochastic Analysis Seminar Series

We consider the numerical approximation of Kolmogorov equations arising in the context of option pricing under L\'evy models and beyond in a multivariate setting. The existence and uniqueness of variational solutions of the partial integro-differential equations (PIDEs) is established in Sobolev spaces of fractional or variable order. Most discretization methods for the considered multivariate models suffer from the curse of dimension  which impedes an efficient solution of the arising systems. We tackle this problem by the use of sparse discretization methods such as classical sparse grids or tensor train techniques.  Numerical examples in multiple space dimensions confirm the efficiency of the described methods.



Monday, June 16, 2014 - 15:45
to 16:45