A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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finite difference methodjump-diffusion modelLévy processoption pricingpartial integro-differential equation
Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
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- Estimation and prediction under local volatility jump-diffusion model
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- European option pricing under stochastic volatility jump-diffusion models with transaction cost
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- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Numerical analysis of novel finite difference methods
- Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
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- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
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- Finite volume method for pricing European and American options under jump-diffusion models
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
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- High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
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- A second-order ADI method for pricing options under fractional regime-switching models
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- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
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- Optimal error estimates of a non-uniform IMEX-L1 finite element method for time fractional PDEs and PIDEs
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- On convergence of splitting-up algorithm for stochastic partial differential equations with jump
- Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models
- Uniformly convergent compact difference scheme for Robin boundary parabolic system arising in lookback option pricing with regime-switching
- The calibration of volatility for european option under fractional stochastic interest rate model
- A second order non-uniform IMEX-Alikhanov-FEM for time-fractional PDEs and PIDEs with time-dependent coefficients
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- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- On a non-uniform -robust IMEX-L1 mixed FEM for time-fractional PIDEs
- Variable step-size IMEX scheme for a partial differential equation with delays and mixed derivative from option pricing under hard-to-borrow model
- Sharp error estimate of variable time-step IMEX BDF2 scheme for parabolic integro-differential equations with initial singularity arising in finance
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
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