Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
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backward differentiation formula (BDF)high-order methodimplicit-explicitjump-diffusion modeloption pricingstability analysis
Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A radial basis collocation method for pricing American options under regime-switching jump-diffusion models
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A second-order tridiagonal method for American options under jump-diffusion models
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- An integral equation approach for pricing American put options under regime-switching model
- An iterative method for pricing American options under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- Direct computation for American put option and free boundary using finite difference method
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation
- Fast numerical valuation of options with jump under Merton's model
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- IMEX extensions of linear multistep methods with general monotonicity and boundedness properties
- IMEX schemes for pricing options under jump-diffusion models
- IMEX variable step-size Runge-Kutta methods for parabolic integro-differential equations with nonsmooth initial data
- Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Methods for pricing American options under regime switching
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- On the stability of implicit-explicit linear multistep methods
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Operator splitting methods for pricing American options under stochastic volatility
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- Option pricing when underlying stock returns are discontinuous
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- The pricing of options and corporate liabilities
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