Repeated spatial extrapolation: An extraordinarily efficient approach for option pricing

作者：

Highlights：

• The repeated spatial extrapolation yields extraordinarily efficient approximations of European vanilla and digital option prices.

• The repeated spatial extrapolation has not been used so far for option pricing.

• We show that the repeated spatial extrapolation achieves superior accuracy even if the final solutions are discontinuous.

• The repeated spatial extrapolation neatly outperforms the already existing finite difference approaches.

摘要

•The repeated spatial extrapolation yields extraordinarily efficient approximations of European vanilla and digital option prices.•The repeated spatial extrapolation has not been used so far for option pricing.•We show that the repeated spatial extrapolation achieves superior accuracy even if the final solutions are discontinuous.•The repeated spatial extrapolation neatly outperforms the already existing finite difference approaches.

论文关键词：Spatial extrapolation,Finite difference,High-order accuracy,Black–Scholes model,Option pricing

论文评审过程：Received 1 January 2013, Revised 19 March 2013, Available online 7 August 2013.

论文官网地址：https://doi.org/10.1016/j.cam.2013.07.033