A computational scheme for option under jump diffusion processes
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- The calibration of volatility for option pricing models with jump diffusion processes
- Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
- Numerical approximation of option pricing model under jump diffusion using the Laplace transformation method
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Numerical study for European option pricing equations with non-Levy 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
- An efficient numerical method for pricing option under jump diffusion model
- Finite volume method for pricing European and American options under jump-diffusion models
- Immersed finite element methods for 4th order differential equations
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Pricing options under jump diffusion processes with fitted finite volume method
- Implicit-explicit numerical schemes for jump-diffusion processes
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