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Sinem Kozpınar

E-mail
ksinem@metu.edu.tr
Department
Graduate School of Applied Mathematics
Pricing European and American options under Heston model using discontinuous Galerkin finite elements
Kozpınar, Sinem; Uzunca, Murat; Karasözen, Bülent (2020-11-01)
This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM). The advantages of dGFEM s...
Spread and basket option pricing in a Markov-modulated Levy framework with synchronous jumps
Deelstra, Griselda; Kozpınar, Sinem; Simon, Matthieu (2018-11-01)
This paper considers the evaluation of spread and basket options when the underlying asset prices are driven by Markov-modulated Levy processes with synchronous jumps. In particular, the asset prices may jump whenever ther...