An iterative method for pricing American options under jump-diffusion models
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American optionfinite difference methoditerative methodjump-diffusion modellinear complementarity problem
Finite difference methods for boundary value problems involving PDEs (65N06) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Computational Methods for Option Pricing
- Efficient solution of a partial integro-differential equation in finance
- Finite element solution of diffusion problems with irregular data
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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- Option pricing when underlying stock returns are discontinuous
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- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
Cited in
(57)- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- ADI schemes for valuing European options under the Bates model
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- A penalty method for American options with jump diffusion processes
- An approximation of American option prices in a jump-diffusion model
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
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- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
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- Pricing pension plans under jump-diffusion models for the salary
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Modulus-based successive overrelaxation method for pricing American options
- A second-order tridiagonal method for American options under jump-diffusion models
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
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- scientific article; zbMATH DE number 6311734 (Why is no real title available?)
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- Fast numerical valuation of options with jump under Merton's model
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- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
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- Option pricing using the IMEX-AVF method with high jump intensity
- Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
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