A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	A finite difference method for pricing European and American options under a geometric Lévy process	scientific article

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scholarly article

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A finite difference method for pricing European and American options under a geometric Lévy process (English)

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Journal of Industrial and Management Optimization

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publication date

3 February 2015

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zbMATH Keywords

fractional Black-Scholes equation

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option pricing

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convergence

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penalty method

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finite difference method

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linear complementarity problem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/jimo.2015.11.241

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Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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The Pricing of Options and Corporate Liabilities

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A Fourier method for the fractional diffusion equation describing sub-diffusion

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A power penalty method for the general traffic assignment problem with elastic demand

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A penalty method for a fractional order parabolic variational inequality governing American put option valuation

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Financial Modelling with Jump Processes

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

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Variational formulation for the stationary fractional advection dispersion equation

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A power penalty approach to a nonlinear complementarity problem

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A penalty method for a mixed nonlinear complementarity problem

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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

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Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs

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Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

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Numerical methods for the solution of partial differential equations of fractional order.

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The fractional calculus. Theory and applications of differentiation and integration to arbitrary order

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A second-order accurate numerical approximation for the fractional diffusion equation

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A second-order accurate numerical method for the two-dimensional fractional diffusion equation

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A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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Power penalty method for a linear complementarity problem arising from American option valuation

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A power penalty method for linear complementarity problems

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Weighted average finite difference methods for fractional diffusion equations

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Convergence property of an interior penalty approach to pricing American option

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Pricing American bond options using a penalty method

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Penalty methods for American options with stochastic volatility

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.3934/JIMO.2015.11.241

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Sitelinks

Mathematics(1 entry)

mardi Publication:2514654

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