Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (Q5417790): Difference between revisions

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scientific article; zbMATH DE number 6297866

Language	Label	Description	Also known as
English	Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models	scientific article; zbMATH DE number 6297866

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instance of

scholarly article

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title

Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (English)

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East Asian Journal on Applied Mathematics

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publication date

22 May 2014

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full work available at URL

https://semanticscholar.org/paper/29cf743f40d9246b2ba0e8e2feafe52b102addf8

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zbMATH Keywords

stochastic volatility jump diffusion

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European option

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barrier option

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partial integro-differential equation

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matrix exponential

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shift-invert Arnoldi

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matrix splitting

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multigrid method

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describes a project that uses

quadgk

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MaRDI profile type

MaRDI publication profile

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cites work

Analysis of Projection Methods for Rational Function Approximation to the Matrix Exponential

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The Variance Gamma Process and Option Pricing

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Fast exponential time integration scheme for option pricing with jumps

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Robust numerical methods for contingent claims under jump diffusion processes

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An Introduction to Iterative Toeplitz Solvers

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A Multigrid Tutorial, Second Edition

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The Pricing of Options and Corporate Liabilities

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Preconditioning Lanczos Approximations to the Matrix Exponential

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Exponential time integration and Chebychev discretisation schemes for fast pricing of options

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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

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Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator

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A Jump-Diffusion Model for Option Pricing

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On Krylov Subspace Approximations to the Matrix Exponential Operator

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

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Exponential time integration for fast finite element solutions of some financial engineering problems

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Acceleration Techniques for Approximating the Matrix Exponential Operator

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Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential

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RD-rational approximations of the matrix exponential

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Option pricing when underlying stock returns are discontinuous

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Shift-Invert Arnoldi Approximation to the Toeplitz Matrix Exponential

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Identifiers

zbMATH Open document ID

1292.91186

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DOI

10.4208/eajam.280313.061013a

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5417790

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+Analysis of Projection Methods for Rational Function Approximation to the Matrix Exponential
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@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Fast exponential time integration scheme for option pricing with jumps
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+An Introduction to Iterative Toeplitz Solvers
@@ Property / cites work: An Introduction to Iterative Toeplitz Solvers / rank @@
+Normal rank
@@ Property / cites work @@
+A Multigrid Tutorial, Second Edition
@@ Property / cites work: A Multigrid Tutorial, Second Edition / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Preconditioning Lanczos Approximations to the Matrix Exponential
+Normal rank
@@ Property / cites work @@
+Exponential time integration and Chebychev discretisation schemes for fast pricing of options
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
+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 @@
+On Krylov Subspace Approximations to the Matrix Exponential Operator
+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 @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Exponential time integration for fast finite element solutions of some financial engineering problems
+Normal rank
@@ Property / cites work @@
+Acceleration Techniques for Approximating the Matrix Exponential Operator
+Normal rank
@@ Property / cites work @@
+Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential
+Normal rank
@@ Property / cites work @@
+RD-rational approximations of the matrix exponential
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Shift-Invert Arnoldi Approximation to the Toeplitz Matrix Exponential
+Normal rank
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