Fast numerical valuation of options with jump under Merton's model (Q507854): Difference between revisions

@@ Property / author @@
-Wan-Sheng Wang
@@ Property / author: Wan-Sheng Wang / rank @@
-Normal rank
@@ Property / author @@
+Wan-Sheng Wang
@@ Property / author: Wan-Sheng Wang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M06
@@ Property / Mathematics Subject Classification ID: 65M06 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M55
@@ Property / Mathematics Subject Classification ID: 65M55 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+L60
@@ Property / Mathematics Subject Classification ID: 65L60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6682617
@@ Property / zbMATH DE Number: 6682617 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+European option pricing
@@ Property / zbMATH Keywords: European option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option pricing
@@ Property / zbMATH Keywords: American option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Merton's jump-diffusion model
@@ Property / zbMATH Keywords: Merton's jump-diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite difference methods
@@ Property / zbMATH Keywords: finite difference methods / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discontinuous Galerkin finite element methods
+Normal rank
@@ Property / zbMATH Keywords @@
+multigrid methods
@@ Property / zbMATH Keywords: multigrid methods / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2016.11.038
+Normal rank
@@ Property / OpenAlex ID @@
+W2558203600
@@ Property / OpenAlex ID: W2558203600 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertain volatility and the risk-free synthesis of derivatives
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@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Q4550916
@@ Property / cites work: Q4550916 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear option pricing equation in illiquid markets
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@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+A penalty method for American options with jump diffusion processes
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+Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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+Robust numerical methods for contingent claims under jump diffusion processes
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+Numerical valuation of options with jumps in the underlying
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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+An iterative method for pricing American options under jump-diffusion models
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+The Analysis of Multigrid Algorithms with Nonnested Spaces or Noninherited Quadratic Forms
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+Q4716273
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+Fast deterministic pricing of options on Lévy driven assets
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+\(hp\)-discontinuous Galerkin time stepping for parabolic problems
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+Q4109239
@@ Property / cites work: Q4109239 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:507854