Contour integral method for European options with jumps

DOI10.1016/J.CNSNS.2012.08.003MaRDI QIDQ391441zbMATHOpenAlexFDO

Authors E. Ngounda, Kailash C. Patidar, Edson Pindza

Publication date 10 January 2014

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10566/3392

zbMATH Keywords

Laplace transformdomain decomposition methodspectral methodscontour integralBlack-Scholes equationjump-diffusion modelsGreeks

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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• RBF-PU method for pricing options under the jump-diffusion model with local volatility
• An RBF-FD method for pricing American options under jump-diffusion models
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
• Pseudospectral roaming contour integral methods for convection-diffusion equations
• A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
• A fractional perspective to financial indices
• A fast numerical method to price American options under the Bates model
• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• A Contour Integral Method for the Black–Scholes and Heston Equations
• Limitations and improvements of standard spectral methods for pricing standard options
• A Laplace transform approach for pricing European options

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