A numerical method for option pricing under jump-diffusion process

DOI10.3969/J.ISSN.1000-5641.2012.04.004MaRDI QIDQ2858516zbMATH OpenFDO

Authors Wei Li, Sheng-Wu Zhou

Publication date 19 November 2013

Published in Journal of East China Normal University. Natural Science Edition (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-5641.2012.04.004

zbMATH Keywords

numerical methodjump-diffusion processoptionsmoothing Crank-Nicolson schemePadé approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

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• A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
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• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
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• Simulation of jump diffusions and the pricing of options
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• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• A computational scheme for option under jump diffusion processes
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility

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