A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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option pricingfinite difference methodjump-diffusion modelpartial integro-differential equationLévy process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) 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)
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Cited in
(75)- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
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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
- Numerical study for European option pricing equations with non-Levy jumps
- Efficient and accurate finite difference method for the four underlying asset ELS
- Option pricing using the IMEX-AVF method with high jump intensity
- A fast and robust numerical method for option prices and Greeks in a jump-diffusion model
- DG method for pricing European options under Merton jump-diffusion model.
- High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
- Wavelet-Galerkin method for second-order integro-differential equations on product domains
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- Temporal difference learning for high-dimensional PIDEs with jumps
- ADI schemes for valuing European options under the Bates model
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Sharp error estimate of variable time-step IMEX BDF2 scheme for parabolic integro-differential equations with initial singularity arising in finance
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- Alternating direction implicit method for approximation solution of the HCIR model, including transaction costs in a jump-diffusion model
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- 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
- An RBF-FD method for pricing American options under jump-diffusion models
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Optimal error estimates of a non-uniform IMEX-L1 finite element method for time fractional PDEs and PIDEs
- An efficient and robust numerical method for option prices in a two-asset jump-diffusion model
- Numerical analysis of novel finite difference methods
- An efficient numerical method for pricing option under jump diffusion model
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Pricing European options under stochastic looping contagion risk model
- European option pricing under stochastic volatility jump-diffusion models with transaction cost
- Variable step-size IMEX scheme for a partial differential equation with delays and mixed derivative from option pricing under hard-to-borrow model
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Uniformly convergent compact difference scheme for Robin boundary parabolic system arising in lookback option pricing with regime-switching
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
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- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
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- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Option valuation under the VG process by a DG method.
- Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
- Numerical schemes for option pricing in regime-switching jump diffusion models
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- Estimation and prediction under local volatility jump-diffusion model
- A second-order tridiagonal method for American options under jump-diffusion models
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
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- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
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