Evaluation finite moment log-stable option pricing by a spectral method

Keyphrases

• Spectral Method 100%
• Option Pricing 100%
• Partial Integral Differential Equations 100%
• Finite Moments 100%
• Pricing Model 66%
• Black-Scholes 66%
• Gauss-Jacobi 66%
• Log-returns 66%
• Two Dimensional 33%
• Computational Cost 33%
• First-order 33%
• Diffusion Model 33%
• Numerical Algorithms 33%
• Discretize 33%
• Diffusion Equation 33%
• Jacobi Spectral Collocation Method 33%
• Statistical Properties 33%
• Finite Difference Scheme 33%
• Global Character 33%
• Global Behavior 33%
• Financial Model 33%
• Fractional Diffusion 33%
• Jacobi Method 33%
• Stable Process 33%
• Mathematical Finance 33%
• Geometric Brownian Motion 33%

Mathematics

• Differential Equation 100%
• Spectral Method 100%
• Option Pricing 100%
• Gaussian Distribution 33%
• Diffusion Equation 33%
• Finite Difference Method 33%
• Computational Cost 33%
• Diffusion Model 33%
• Numerical Algorithm 33%
• Statistical Property 33%
• Fractional Order 33%
• Log-Stable Process 33%
• Mathematical Finance 33%
• Jacobi Method 33%
• Geometric Brownian Motion 33%