Numerical solution of two asset jump diffusion models for option valuation
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Multivariate Exponential Distribution
- A finite volume approach for contingent claims valuation
- A jump-diffusion model for option pricing
- A penalty method for American options with jump diffusion processes
- An approximation of American option prices in a jump-diffusion model
- Application of the fast Gauss transform to option pricing
- Contingent claims on foreign assets following jump-diffusion processes
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- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Far field boundary conditions for Black-Scholes equations
- Fast Approximate Fourier Transforms for Irregularly Spaced Data
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast deterministic pricing of options on Lévy driven assets
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- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- Numerical valuation of options with jumps in the underlying
- On the Use of Stability Regions in the Numerical Analysis of Initial Value Problems
- Option pricing when underlying stock returns are discontinuous
- Parallel iterative methods for sparse linear systems
- Penalty methods for American options with stochastic volatility
- Quadratic convergence for valuing American options using a penalty method
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- Robust numerical methods for contingent claims under jump diffusion processes
- Stepsize restrictions for stability in the numerical solution of ordinary and partial differential equations
- The Identity of Weak and Strong Extensions of Differential Operators
- The pricing of options and corporate liabilities
- Valuation of volatility derivatives as an inverse problem
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(49)- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Comparison of numerical methods on pricing equations with non-Lévy jumps
- European rainbow option values under the two-asset Merton jump-diffusion model
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets.
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Numerical analysis of novel finite difference methods
- A mixed derivative terms removing method in multi-asset option pricing problems
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- A quick operator splitting method for option pricing
- Numerical valuation of options with jumps in the underlying
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Wavelet method for option pricing under the two-asset Merton jump-diffusion model.
- Partial differential equation pricing of contingent claims under stochastic correlation
- Numerical simulations for the pricing of options in jump diffusion markets
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Tri-diagonal preconditioner for pricing options
- Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
- An efficient and robust numerical method for option prices in a two-asset jump-diffusion model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Efficient solution of structural default models with correlated jumps and mutual obligations
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- Efficient solution of a partial integro-differential equation in finance
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A unified approach to solving parabolic Volterra partial integro-differential equations for a broad category of kernels: numerical analysis and computing
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- A posteriori error analysis for a class of integral equations and variational inequalities
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
- 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Android application for pricing two-and three-asset equity-linked securities
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Numerical methods for two person games arising from transboundary pollution with emission permit trading
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- American-type basket option pricing: a simple two-dimensional partial differential equation
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