Positive finite difference schemes for a partial integro-differential option pricing model
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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Cites work
- scientific article; zbMATH DE number 3854294 (Why is no real title available?)
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- scientific article; zbMATH DE number 1235880 (Why is no real title available?)
- scientific article; zbMATH DE number 815352 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A jump-diffusion model for option pricing
- Applied and numerical partial differential equations. Scientific computing in simulation, optimization and control in a multidisciplinary context
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Far field boundary conditions for Black-Scholes equations
- Financial Modelling with Jump Processes
- Finite element solution of diffusion problems with irregular data
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Multigrid for American option pricing with stochastic volatility
- Option pricing when underlying stock returns are discontinuous
- PDE and martingale methods in option pricing.
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- The pricing of options and corporate liabilities
Cited in
(15)- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- Numerical analysis of novel finite difference methods
- A mixed derivative terms removing method in multi-asset option pricing problems
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- A fast numerical method to price American options under the Bates model
- 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- An efficient method for solving spread option pricing problem: numerical analysis and computing
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
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