An iterative method for pricing American options under jump-diffusion models (Q534258): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / Wikidata QID
 
Property / Wikidata QID: Q110098851 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational Methods for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical valuation of options with jumps in the underlying / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: A penalty method for American options with jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust numerical methods for contingent claims under jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operator splitting methods for American option pricing. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5453896 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operator splitting methods for pricing American options under stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Jump-Diffusion Model for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite element solution of diffusion problems with irregular data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient solution of a partial integro-differential equation in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A high-order front-tracking finite difference method for pricing American options under jump-diffusion models / rank
 
Normal rank

Latest revision as of 01:10, 4 July 2024

scientific article
Language Label Description Also known as
English
An iterative method for pricing American options under jump-diffusion models
scientific article

    Statements

    An iterative method for pricing American options under jump-diffusion models (English)
    0 references
    0 references
    0 references
    17 May 2011
    0 references
    American option
    0 references
    jump-diffusion model
    0 references
    finite difference method
    0 references
    linear complementarity problem
    0 references
    iterative method
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references