https://www.mdu.se/

mdu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.ORCID iD: 0000-0001-9303-1196
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.ORCID iD: 0000-0002-0835-7536
2022 (English)Conference paper, Oral presentation with published abstract (Other academic)
Abstract [en]

This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we studied cubature formulae that are exact for all multiple Stratonovich integrals up to dimension equal to the degree. In fact, cubature method reduces solving a stochastic differential equation to solving a finite set of ordinary differential equations. Now, we apply the above methods to construct trinomial models and to price different financial derivatives. We will compare our numerical solutions with the Black’s and Black-Scholes models’ analytical solutions. The constructed model has practical usage in pricing American options and American-style derivatives.

Place, publisher, year, edition, pages
2022.
Keywords [en]
Cubature method, Stratonovich integral, Wiener space, stochastic market model
National Category
Mathematics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-59718OAI: oai:DiVA.org:mdh-59718DiVA, id: diva2:1686173
Conference
7th Stochastic Modeling Techniques and Data Analysis International Conference and Demographics 2022 Workshop
Available from: 2022-08-08 Created: 2022-08-08 Last updated: 2022-08-15Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

http://www.smtda.net/

Authority records

Nohrouzian, HosseinMalyarenko, AnatoliyNi, Ying

Search in DiVA

By author/editor
Nohrouzian, HosseinMalyarenko, AnatoliyNi, Ying
By organisation
Educational Sciences and Mathematics
Mathematics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 149 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf