An implicit double discretization method for pricing options under Metron's jump-diffusion model

MaRDI QIDQ3132252zbMATH OpenFDO

Authors Quan-Yu Dou, Jun-Feng Yin, Xiao-Ting Gan

Publication date 29 January 2018

zbMATH Keywords

implicit double discretizationMerton's jump-diffusion options modelstability

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Robust numerical methods for contingent claims under jump diffusion processes
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• Finite volume method for pricing European and American options under jump-diffusion models
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models

Cited in

(1)

• DG method for pricing European options under Merton jump-diffusion model.

This page was built for publication: An implicit double discretization method for pricing options under Metron's jump-diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3132252)