On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287): Difference between revisions

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scientific article; zbMATH DE number 7100341

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English	On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance	scientific article; zbMATH DE number 7100341

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instance of

scholarly article

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title

On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (English)

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SIAM Journal on Numerical Analysis

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publication date

2 September 2019

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zbMATH Keywords

partial integro-differential equation

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implicit-explicit methods

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two-step backward differentiation formula

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options pricing

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jump-diffusion model

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error estimates

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parabolic equations

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finite difference method

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stability

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MaRDI profile type

MaRDI publication profile

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cites work

Computational Methods for Option Pricing

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Numerical valuation of options with jumps in the underlying

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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

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Option pricing with transaction costs and a nonlinear Black-Scholes equation

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A second order backward difference method with variable steps for a parabolic problem

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The Pricing of Options and Corporate Liabilities

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Implicit-explicit numerical schemes for jump-diffusion processes

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

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Financial Modelling with Jump Processes

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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A penalty method for American options with jump diffusion processes

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Robust numerical methods for contingent claims under jump diffusion processes

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Error Estimates with Smooth and Nonsmooth Data for a Finite Element Method for the Cahn-Hilliard Equation

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Stability and error of the variable two-step BDF for semilinear parabolic problems

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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Q4550916

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Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation

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On the numerical solution of nonlinear option pricing equation in illiquid markets

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Geometric theory of semilinear parabolic equations

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Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models

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An efficient numerical method for pricing option under jump diffusion model

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A radial basis function based implicit-explicit method for option pricing under jump-diffusion models

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An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options

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A Jump-Diffusion Model for Option Pricing

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Multiscale methods for the valuation of American options with stochastic volatility

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A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

0 references

A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

0 references

Uncertain volatility and the risk-free synthesis of derivatives

0 references

Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance

0 references

Q4905685

0 references

Option pricing when underlying stock returns are discontinuous

0 references

Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

0 references

Pricing American options under jump-diffusion models using local weak form meshless techniques

0 references

Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method

0 references

An iterative method for pricing American options under jump-diffusion models

0 references

IMEX schemes for pricing options under jump-diffusion models

0 references

An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

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Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method

0 references

Adaptive finite differences and IMEX time-stepping to price options under Bates model

0 references

Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

0 references

Fast numerical valuation of options with jump under Merton's model

0 references

Q5332803

0 references

Q3621206

0 references

Numerical Analysis of American Option Pricing in a Jump-Diffusion Model

0 references

full work available at URL

https://doi.org/10.1137/18m1194328

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Identifiers

zbMATH Open document ID

1422.65189

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DOI

10.1137/18M1194328

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5232287

@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+A second order backward difference method with variable steps for a parabolic problem
+Normal rank
@@ 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 @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Error Estimates with Smooth and Nonsmooth Data for a Finite Element Method for the Cahn-Hilliard Equation
+Normal rank
@@ Property / cites work @@
+Stability and error of the variable two-step BDF for semilinear parabolic problems
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Q4550916
@@ Property / cites work: Q4550916 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear option pricing equation in illiquid markets
+Normal rank
@@ Property / cites work @@
+Geometric theory of semilinear parabolic equations
+Normal rank
@@ Property / cites work @@
+Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
+Normal rank
@@ Property / cites work @@
+An efficient numerical method for pricing option under jump diffusion model
+Normal rank
@@ Property / cites work @@
+A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale methods for the valuation of American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+Uncertain volatility and the risk-free synthesis of derivatives
+Normal rank
@@ Property / cites work @@
+Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
+Normal rank
@@ Property / cites work @@
+Pricing American options under jump-diffusion models using local weak form meshless techniques
+Normal rank
@@ Property / cites work @@
+Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
+Normal rank
@@ Property / cites work @@
+An iterative method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+IMEX schemes for pricing options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
+Normal rank
@@ Property / cites work @@
+Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method
+Normal rank
@@ Property / cites work @@
+Adaptive finite differences and IMEX time-stepping to price options under Bates model
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Fast numerical valuation of options with jump under Merton's model
+Normal rank
@@ Property / cites work @@
+Q5332803
@@ Property / cites work: Q5332803 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3621206
@@ Property / cites work: Q3621206 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1137/18m1194328
+Normal rank
@@ Property / OpenAlex ID @@
+W2948777523
@@ Property / OpenAlex ID: W2948777523 / rank @@
+Normal rank