IMEX schemes for pricing options under jump-diffusion models (Q2250990): Difference between revisions

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-Santtu Salmi
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+Santtu Salmi
@@ Property / author: Santtu Salmi / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.apnum.2014.05.007
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+W2081787832
@@ Property / OpenAlex ID: W2081787832 / rank @@
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@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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@@ Property / cites work @@
+Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
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+Implicit-explicit numerical schemes for jump-diffusion processes
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+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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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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+On the stability of implicit-explicit linear multistep methods
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+Solving Ordinary Differential Equations I
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+IMEX extensions of linear multistep methods with general monotonicity and boundedness properties
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+A note on splitting errors for advection-reaction equations
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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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+An iterative method for pricing American options under jump-diffusion models
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+Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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