Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116): Difference between revisions

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+https://doi.org/10.1016/j.apnum.2014.06.012
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+W1991212624
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@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
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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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+Robust numerical methods for contingent claims under jump diffusion processes
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+Operator splitting methods for American option pricing.
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
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+Option pricing when underlying stock returns are discontinuous
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+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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