An efficient numerical method for pricing option under jump diffusion model

DOI10.1007/S12572-015-0136-ZMaRDI QIDQ531075zbMATH OpenOpenAlexFDO

Authors M. K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi

Publication date 3 August 2016

Published in International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12572-015-0136-z

zbMATH Keywords

option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) 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)

Recommendations

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• A computational scheme for option under jump diffusion processes
• A numerical method for option pricing under jump-diffusion process
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• A fast and robust numerical method for option prices and Greeks in a jump-diffusion model

Cites work

• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• A jump-diffusion model for option pricing
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model
• A numerical study of Asian option with radial basis functions based finite differences method
• Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
• Contour integral method for European options with jumps
• Exponential time integration for fast finite element solutions of some financial engineering problems
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Local RBF-FD solutions for steady convection -- diffusion problems
• Local radial basis function based gridfree scheme for unsteady incompressible viscous flows
• Numerical valuation of options with jumps in the underlying
• Option pricing when underlying stock returns are discontinuous
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• Pricing options under jump diffusion processes with fitted finite volume method
• Robust numerical methods for contingent claims under jump diffusion processes
• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
• Scattered node compact finite difference-type formulas generated from radial basis functions
• Some observations regarding interpolants in the limit of flat radial basis functions
• Spectral methods. Algorithms, analysis and applications.

Cited in

(24)

• Radial basis function generated finite differences for option pricing problems
• A combined compact difference scheme for option pricing in the exponential jump-diffusion models
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
• An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
• RBF–based IMEX finite difference schemes for pricing option under liquidity switching
• 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
• scientific article; zbMATH DE number 7155558 (Why is no real title available?)
• Numerical simulations for the pricing of options in jump diffusion markets
• Robust numerical methods for contingent claims under jump diffusion processes
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• 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
• A computational scheme for option under jump diffusion processes
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• An efficient numerical method for pricing a Russian option with a finite time horizon
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
• A numerical method for option pricing under jump-diffusion process

This page was built for publication: An efficient numerical method for pricing option under jump diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q531075)