Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
From MaRDI portal
Recommendations
- A PDE approach to jump-diffusions
- Pricing options under jump diffusion processes with fitted finite volume method
- Option pricing under the jump diffusion and multifactor stochastic processes
- Discrete-time bond and option pricing for jump-diffusion processes
- Numerical valuation of options with jumps in the underlying
Cited in
(only showing first 100 items - show all)- Measuring impact of random jumps without sample path generation
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Uncertain volatility models with stochastic bounds
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- Testing for diffusion in a discretely observed semimartingale
- Shape-preserving interpolation and smoothing for options market implied volatility
- Lookback option pricing for regime-switching jump diffusion models
- Neutral and indifference pricing with stochastic correlation and volatility
- Necessary optimality conditions for the control of partial integro-differential equations
- Pricing jump risk with utility indifference
- Parametric estimation of risk neutral density functions
- ADI schemes for valuing European options under the Bates model
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- Option pricing in some non-Lévy jump models
- A splitting strategy for the calibration of jump-diffusion models
- An alternative tree method for calibration of the local volatility
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Jump-diffusion modeling in emission markets
- Valuing early-exercise interest-rate options with multi-factor affine models
- Non-recombining trinomial tree pricing model and calibration for the volatility smile
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Modeling and implementation of local volatility surfaces in Bayesian framework
- An approximation of small-time probability density functions in a general jump diffusion model
- Option pricing in jump diffusion models with quadratic spline collocation
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Optimal exercise boundary via intermediate function with jump risk
- Stochastic differential equations with diffusion and jumps modeling currency markets
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- No-arbitrage interpolation of the option price function and its reformulation
- Parallel option pricing with Fourier space time-stepping method on graphics processing units
- Smart expansion and fast calibration for jump diffusions
- Pricing approximations and error estimates for local Lévy-type models with default
- Model-free price hedge ratios for homogeneous claims on tradable assets
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- DG method for pricing European options under Merton jump-diffusion model.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- IMEX schemes for pricing options under jump-diffusion models
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- The effect of modelling parameters on the value of GMWB guarantees
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Comparison of numerical methods on pricing equations with non-Lévy jumps
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A penalty method for American options with jump diffusion processes
- Solutions to integro-differential problems arising on pricing options in a Lévy market
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- On American Options Under the Variance Gamma Process
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- From local volatility to local Lévy models
- An efficient numerical method for pricing option under jump diffusion model
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Preconditioned iterative methods for fractional diffusion models in finance
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Deformed exponentials and applications to finance
- Systematic equity-based credit risk: A CEV model with jump to default
- Pricing options under jump diffusion processes with fitted finite volume method
- On the numerical evaluation of option prices in the variance gamma model
- Numerical methods for Lévy processes
- Maximum likelihood estimation of the double exponential jump-diffusion process
- A PDE approach to jump-diffusions
- Wavelet Galerkin pricing of American options on Lévy driven assets
- An RBF-FD method for pricing American options under jump-diffusion models
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Numerical valuation of options with jumps in the underlying
- Model-independent lower bound on variance swaps
- A radial basis function scheme for option pricing in exponential Lévy models
- On properties of analytically solvable families of local volatility diffusion models
- American-style options in jump-diffusion models: estimation and evaluation
- The calibration of volatility for option pricing models with jump diffusion processes
- A componentwise splitting method for pricing American options under the Bates model
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- Estimation and prediction under local volatility jump-diffusion model
- Discrete-time bond and option pricing for jump-diffusion processes
- Calibration and hedging under jump diffusion
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- On option pricing models in the presence of heavy tails
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- A fast stationary iterative method for a partial integro-differential equation in pricing options
This page was built for publication: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375333)
