Fast Laplace Transform Methods for American Option Pricing with Fractional Diffusion Operator
发布人: 曹思圆   发布时间: 2018-04-16   浏览次数: 10



开始时间:2018-4-23 16:30-17:30




孙海卫,澳门大学数学系教授。1996年香港中文大学应用数学专业博士毕业。20012004年期间分别在美国肯塔基州大学高性能计算实验室和亚拉巴马州大学化学工程系做博士后,2004年到澳门大学数学系工作,研究领域包括数值线性代数,偏微分方程数值解和金融计算等,在SIAM Journal on Scientific ComputingSIAM Journal on Matrix Analysis and Applications等著名期刊上发表学术论文五十余篇,著书两本。


In this talk, we develop a fast Laplace transform method for solving a class of free-boundary fractional diffusion equations arising in the American option pricing. Instead of using the time stepping methods, we develop the Laplace transform method for solving the free-boundary fractional diffusion equations. By approximating the free boundary, the Laplace transform is taken on a fixed space region to replace discretizing the temporal variable. The hyperbola contour integral method is exploited to restore the option values. Meanwhile, the coefficient matrix has theoretically proven to be Toeplitz-like and sectorial. Therefore, the highly accurate approximation by the fast Laplace transform method is guaranteed. The numerical results confirm that the proposed method outperforms the full finite difference methods in regard to the accuracy and complexity.