Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114): Difference between revisions

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scientific article; zbMATH DE number 7135570

Language	Label	Description	Also known as
English	Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients	scientific article; zbMATH DE number 7135570

Statements

instance of

scholarly article

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title

Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (English)

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ESAIM: Mathematical Modelling and Numerical Analysis

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publication date

22 November 2019

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zbMATH Keywords

regime-switching jump-diffusion models

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option pricing

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finite difference methods

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variable coefficients

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/m2an/2019035

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cites work

Computational Methods for Option Pricing

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An adaptive algorithm for solving stochastic multi-point boundary value problems

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NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET

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

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Option pricing under regime-switching jump-diffusion models

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Q4323296

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Operator splitting methods for American option pricing.

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Fourier space time-stepping for option pricing with Lévy models

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

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A Jump-Diffusion Model for Option Pricing

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

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Stability of an implicit method to evaluate option prices under local volatility with jumps

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Financial options pricing with regime-switching jump-diffusions

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Option pricing when underlying stock returns are discontinuous

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A high order finite element scheme for pricing options under regime switching jump diffusion processes

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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS

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IMEX schemes for pricing options under jump-diffusion models

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Identifiers

zbMATH Open document ID

1475.91400

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DOI

10.1051/m2an/2019035

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4972114

@@ Property / full work available at URL @@
+https://doi.org/10.1051/m2an/2019035
+Normal rank
@@ Property / OpenAlex ID @@
+W2943860783
@@ Property / OpenAlex ID: W2943860783 / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+An adaptive algorithm for solving stochastic multi-point boundary value problems
+Normal rank
@@ Property / cites work @@
+NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Option pricing under regime-switching jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+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 @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+Stability of an implicit method to evaluate option prices under local volatility with jumps
+Normal rank
@@ Property / cites work @@
+Financial options pricing with regime-switching jump-diffusions
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A high order finite element scheme for pricing options under regime switching jump diffusion processes
+Normal rank
@@ Property / cites work @@
+FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
+Normal rank
@@ Property / cites work @@
+IMEX schemes for pricing options under jump-diffusion models
+Normal rank
@@ Property / Wikidata QID @@
+Q127912910
@@ Property / Wikidata QID: Q127912910 / rank @@
+Normal rank