An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006): Difference between revisions

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scientific article; zbMATH DE number 7405587

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English	An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function	scientific article; zbMATH DE number 7405587

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instance of

scholarly article

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title

An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (English)

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ESAIM: Mathematical Modelling and Numerical Analysis

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publication date

1 October 2021

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zbMATH Keywords

partial integro-differential equations

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implicit-explicit midpoint formula

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options pricing

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jump-diffusion model

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finite difference method

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stability

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error estimates

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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/2021012

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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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Implicit-Explicit Methods for Time-Dependent Partial Differential Equations

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Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations

0 references

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

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Operator splitting schemes for the two-asset Merton jump-diffusion model

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Implicit-explicit numerical schemes for jump-diffusion processes

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A Second Order BDF Numerical Scheme with Variable Steps for the Cahn--Hilliard Equation

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

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Analysis of Quantization Error in Financial Pricing via Finite Difference Methods

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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

0 references

Une méthode multipas implicite-explicite pour l'approximation des équations d'évolution paraboliques

0 references

A penalty method for American options with jump diffusion processes

0 references

Robust numerical methods for contingent claims under jump diffusion processes

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

0 references

Quadratic Convergence for Valuing American Options Using a Penalty Method

0 references

On the stability of implicit-explicit linear multistep methods

0 references

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

0 references

ADI schemes for valuing European options under the Bates model

0 references

Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition

0 references

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

0 references

An efficient numerical method for pricing option under jump diffusion model

0 references

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

0 references

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

0 references

A Jump-Diffusion Model for Option Pricing

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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

On Energy Stable, Maximum-Principle Preserving, Second-Order BDF Scheme with Variable Steps for the Allen--Cahn Equation

0 references

Fast deterministic pricing of options on Lévy driven assets

0 references

Option pricing when underlying stock returns are discontinuous

0 references

Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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

Implicit-explicit methods for reaction-diffusion problems in pattern formation

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

0 references

Q4937701

0 references

Q4663944

0 references

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

0 references

Stability Restrictions on Second Order, Three Level Finite Difference Schemes for Parabolic Equations

0 references

An implicit-explicit approach for atmospheric transport-chemistry problems

0 references

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

0 references

Q5319786

0 references

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

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Stability and error estimates for the variable step-size BDF2 method for linear and semilinear parabolic equations

0 references

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

0 references

Q3621206

0 references

Identifiers

zbMATH Open document ID

1481.65160

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5154006

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@@ Property / OpenAlex ID: W3137564024 / 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 @@
+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 @@
+Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
+Normal rank
@@ Property / cites work @@
+A second order backward difference method with variable steps for a parabolic problem
+Normal rank
@@ Property / cites work @@
+Operator splitting schemes for the two-asset Merton jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+A Second Order BDF Numerical Scheme with Variable Steps for the Cahn--Hilliard Equation
+Normal rank
@@ Property / cites work @@
+An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
+Normal rank
@@ Property / cites work @@
+Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
+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 @@
+Une méthode multipas implicite-explicite pour l'approximation des équations d'évolution paraboliques
+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 @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+On the stability of implicit-explicit linear multistep methods
+Normal rank
@@ Property / cites work @@
+Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+ADI schemes for valuing European options under the Bates model
+Normal rank
@@ Property / cites work @@
+Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition
+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 @@
+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 @@
+On Energy Stable, Maximum-Principle Preserving, Second-Order BDF Scheme with Variable Steps for the Allen--Cahn Equation
+Normal rank
@@ Property / cites work @@
+Fast deterministic pricing of options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
+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 @@
+Implicit-explicit methods for reaction-diffusion problems in pattern formation
+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 @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663944
@@ Property / cites work: Q4663944 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Stability Restrictions on Second Order, Three Level Finite Difference Schemes for Parabolic Equations
+Normal rank
@@ Property / cites work @@
+An implicit-explicit approach for atmospheric transport-chemistry problems
+Normal rank
@@ Property / cites work @@
+Fast numerical valuation of options with jump under Merton's model
+Normal rank
@@ Property / cites work @@
+Q5319786
@@ Property / cites work: Q5319786 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
+Normal rank
@@ Property / cites work @@
+Stability and error estimates for the variable step-size BDF2 method for linear and semilinear parabolic equations
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Q3621206
@@ Property / cites work: Q3621206 / rank @@
+Normal rank
@@ Property / DOI @@
+.1051/M2AN/2021012
@@ Property / DOI: 10.1051/M2AN/2021012 / rank @@
+Normal rank