Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (Q6144313): Difference between revisions

Latest revision as of 18:51, 30 December 2024

scientific article; zbMATH DE number 7784427

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English	Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model	scientific article; zbMATH DE number 7784427

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scholarly article

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title

Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (English)

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Computational and Applied Mathematics

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publication date

5 January 2024

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zbMATH Keywords

operator splitting

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jump-diffusion

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American options

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linear complementarity problems

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stability analysis

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error analysis

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1007/s40314-023-02510-8

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cites work

A combined compact difference scheme for option pricing in the exponential jump-diffusion models

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An adaptive algorithm for solving stochastic multi-point boundary value problems

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Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

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Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

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A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models

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A new operator splitting method for American options under fractional Black-Scholes models

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

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An accurate and stable numerical method for option hedge parameters

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A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

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

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On a new family of radial basis functions: mathematical analysis and applications to option pricing

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Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

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

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Q4272982

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An RBF-FD method for pricing American options under jump-diffusion models

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Methods for Pricing American Options under Regime Switching

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A finite difference scheme for pricing American put options under Kou's jump-diffusion model

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Operator splitting methods for American option pricing.

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Operator splitting methods for pricing American options under stochastic volatility

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Application of the local radial basis function-based finite difference method for pricing American 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 radial basis function based implicit-explicit method for option pricing under jump-diffusion models

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An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models

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A Jump-Diffusion Model for Option Pricing

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Haar‐wavelet based approximation for pricing American options under linear complementarity formulations

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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

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A local radial basis function method for pricing options under the regime switching model

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Fast deterministic pricing of options on Lévy driven assets

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Option pricing when underlying stock returns are discontinuous

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Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model

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

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Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

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Q3521017

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Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method

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A new radial basis functions method for pricing American options under Merton's jump-diffusion model

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An iterative method for pricing American options under jump-diffusion models

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IMEX schemes for pricing options under jump-diffusion models

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On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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A new fourth-order numerical scheme for option pricing under the CEV model

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RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

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A spectral element method for option pricing under regime-switching with jumps

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On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance

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An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function

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A quick operator splitting method for option pricing

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Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model

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Identifiers

Mathematics Subject Classification ID

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10.1007/S40314-023-02510-8

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Sitelinks

Mathematics(1 entry)

mardi Publication:6144313

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