Numerical methods for Lévy processes
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- scientific article; zbMATH DE number 5710731
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- Dimension reduction for pricing options under multidimensional Lévy processes
- A finite difference method for pricing European and American options under a geometric Lévy process
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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- A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- A continuity correction for discrete barrier options
- A general version of the fundamental theorem of asset pricing
- A jump-diffusion model for option pricing
- A multivariate jump-driven financial asset model
- A note on the complexity of solving Poisson's equation for spaces of bounded mixed derivatives
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
- Additive and multiplicative duals for American option pricing
- An Algorithm for the Machine Calculation of Complex Fourier Series
- An approximation of American option prices in a jump-diffusion model
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Approximations of small jumps of Lévy processes with a view towards simulation
- Biorthogonal spline wavelets on the interval -- stability and moment conditions
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Computational Methods for Option Pricing
- Continuous Markov processes and stochastic equations
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
- Estimating Security Price Derivatives Using Simulation
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Finite-element wavelets on manifolds
- Fourier space time-stepping for option pricing with Lévy models
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- Implicit-explicit numerical schemes for jump-diffusion processes
- Importance Sampling for Stochastic Simulations
- Integro-differential equations for option prices in exponential Lévy models
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Linear complexity solution of parabolic integro-differential equations
- Malliavin Monte Carlo Greeks for jump diffusions
- Monte Carlo valuation of American options
- Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Numerical Methods in Finance and Economics
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
- Numerical solution of parabolic equations in high dimensions
- Numerical valuation of options with jumps in the underlying
- ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
- On Lévy processes, Malliavin calculus and market models with jumps
- On the Convergence Rates of IPA and FDC Derivative Estimators
- On the rate of convergence of discrete-time contingent claims.
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Quadratic convergence for valuing American options using a penalty method
- Quasi-Monte Carlo methods with applications in finance
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Some Guidelines and Guarantees for Common Random Numbers
- Sparse grids
- Stochastic simulation: Algorithms and analysis
- Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
- Tempering stable processes
- Tensor product type subspace splittings and multilevel iterative methods for anisotropic problems
- The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- The Variance Gamma Process and Option Pricing
- The approximate Euler method for Lévy driven stochastic differential equations
- The pricing of options and corporate liabilities
- Tools for computational finance.
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing American options by simulation: a simple least-squares approach
- Variational sensitivity analysis of parametric Markovian market models
- Wavelet Galerkin pricing of American options on Lévy driven assets
- Weak convergence of financial markets.
- hp-discontinuous Galerkin time-stepping for parabolic problems
Cited in
(35)- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
- Simulation of Student-Lévy processes using series representations
- Simulation of Lévy-driven models and its application in finance
- Series representations for multivariate time-changed Lévy models
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- A spectral element framework for option pricing under general exponential Lévy processes
- Stochastic equations and equations for probabilistic characteristics of processes with damped jumps
- Weighted Sobolev regularity and rate of approximation of the obstacle problem for the integral fractional Laplacian
- Forward equations for option prices in semimartingale models
- Lévy copulas: review of recent results
- Nonnormal small jump approximation of infinitely divisible distributions
- Simulation of Lévy-driven models and their applications in finance
- Dimension reduction for pricing options under multidimensional Lévy processes
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- Method of paired contours and pricing barrier options and CDSs of long maturities
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
- Multiscale Analysis for Jump Processes in Finance
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- On the minimal number of driving Lévy motions in a multivariate price model
- Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- Comparison of numerical methods on pricing equations with non-Lévy jumps
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- Numerical computation of first-passage times of increasing Lévy processes
- Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- Hedging electricity swaptions using partial integro-differential equations
- Variational solutions of the pricing PIDEs for European options in Lévy models
- Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
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