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

DOI10.4208/eajam.280313.061013azbMath1292.91186OpenAlexW2331253163MaRDI QIDQ5417790

Hong-Kui Pang, Hai-Wei Sun

Publication date: 22 May 2014

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/29cf743f40d9246b2ba0e8e2feafe52b102addf8

zbMATH Keywords

multigrid methodmatrix splittingmatrix exponentialEuropean optionbarrier optionpartial integro-differential equationshift-invert Arnoldistochastic volatility jump diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Initial value problems for second-order parabolic equations (35K15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (11)

An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance ⋮ A dimensional splitting exponential time differencing scheme for multidimensional fractional Allen-Cahn equations ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ Preconditioned fourth-order exponential integrator for two-dimensional nonlinear fractional Ginzburg-Landau equation ⋮ Exponential Runge-Kutta method for two-dimensional nonlinear fractional complex Ginzburg-Landau equations ⋮ Numerical study of a fast two-level Strang splitting method for spatial fractional Allen-Cahn equations ⋮ A Fast Two-Level Strang Splitting Method for Multi-Dimensional Spatial Fractional Allen-Cahn Equations with Discrete Maximum Principle ⋮ RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function ⋮ Fast numerical solution for fractional diffusion equations by exponential quadrature rule ⋮ Numerical solution for multi-dimensional Riesz fractional nonlinear reaction-diffusion equation by exponential Runge-Kutta method ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models

Uses Software

• quadgk

Cites Work

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• Option pricing when underlying stock returns are discontinuous
• Preconditioning Lanczos Approximations to the Matrix Exponential
• Analysis of Projection Methods for Rational Function Approximation to the Matrix Exponential

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