71 citations · 96 across the 9 of their papers we have counts for
4 papers · 1 filter
Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Jan Pospíšil, Tomáš Sobotka, Philipp Ziegler
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The ana…
Solution of option pricing equations using orthogonal polynomial expansion
Falko Baustian, Kateřina Filipová, Jan Pospíšil
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabo…
Isogeometric analysis in option pricing
Jan Pospíšil, Vladimír Švígler
Isogeometric analysis is a recently developed computational approach that integrates finite element analysis directly into design described by non-uniform rational B-splines (NURBS…
Decomposition formula for jump diffusion models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +1
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an e…