FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701): Difference between revisions

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scientific article; zbMATH DE number 6897612

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English	FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS	scientific article; zbMATH DE number 6897612

Statements

instance of

scholarly article

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title

FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (English)

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International Journal of Theoretical and Applied Finance

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publication date

29 June 2018

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full work available at URL

https://arxiv.org/abs/1804.07534

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zbMATH Keywords

compact schemes

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option pricing

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Lévy process

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European options

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jump-diffusion models

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partial integro-differential equations

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Toeplitz matrices

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describes a project that uses

Algorithm 986

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MaRDI profile type

MaRDI publication profile

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cites work

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

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The Pricing of Options and Corporate Liabilities

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Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory

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Implicit-explicit numerical schemes for jump-diffusion processes

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An Introduction to Iterative Toeplitz Solvers

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Conjugate Gradient Methods for Toeplitz Systems

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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Robust numerical methods for contingent claims under jump diffusion processes

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Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

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High-order compact finite difference scheme for option pricing in stochastic volatility models

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

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

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A Jump-Diffusion Model for Option Pricing

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Smoothing of initial data and rates of convergence for parabolic difference equations

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A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

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Q4002473

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Compact finite difference schemes with spectral-like resolution

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Algorithm 986

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A compact difference scheme for the Navier-Stokes equations in vorticity-velocity formulation

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Option pricing when underlying stock returns are discontinuous

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A numerical study of Asian option with high-order compact finite difference scheme

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Efficient solution of a partial integro-differential equation in finance

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IMEX schemes for pricing options under jump-diffusion models

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An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

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Analysis of central and upwind compact schemes.

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Q4663944

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Numerical pricing of options using high-order compact finite difference schemes

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Identifiers

zbMATH Open document ID

1395.91501

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DOI

10.1142/S0219024918500279

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4571701

@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+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 @@
+Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for 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 @@
+Conjugate Gradient Methods for Toeplitz Systems
@@ Property / cites work: Conjugate Gradient Methods for Toeplitz Systems / 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 @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+High-order compact finite difference scheme for option pricing in stochastic volatility models
+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 @@
+Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
+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 @@
+Smoothing of initial data and rates of convergence for parabolic difference equations
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+Q4002473
@@ Property / cites work: Q4002473 / rank @@
+Normal rank
@@ Property / cites work @@
+Compact finite difference schemes with spectral-like resolution
+Normal rank
@@ Property / cites work @@
+Algorithm 986
@@ Property / cites work: Algorithm 986 / rank @@
+Normal rank
@@ Property / cites work @@
+A compact difference scheme for the Navier-Stokes equations in vorticity-velocity formulation
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A numerical study of Asian option with high-order compact finite difference scheme
+Normal rank
@@ Property / cites work @@
+Efficient solution of a partial integro-differential equation in finance
+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 @@
+Analysis of central and upwind compact schemes.
@@ Property / cites work: Analysis of central and upwind compact schemes. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663944
@@ Property / cites work: Q4663944 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
+Normal rank