Pricing options under jump diffusion processes with fitted finite volume method
From MaRDI portal
Recommendations
- Finite volume method for pricing European and American options under jump-diffusion models
- A computational scheme for option under jump diffusion processes
- scientific article; zbMATH DE number 7589106
- Finite volume methods for pricing jump-diffusion option model
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 53687 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 3325215 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A computational scheme for option under jump diffusion processes
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Financial Modelling with Jump Processes
- Finite element solution of diffusion problems with irregular data
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- Option pricing when underlying stock returns are discontinuous
- Power penalty method for a linear complementarity problem arising from American option valuation
- Quadratic convergence for valuing American options using a penalty method
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
Cited in
(52)- Finite volume methods for pricing jump-diffusion option model
- Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation
- 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
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- Numerical study for European option pricing equations with non-Levy jumps
- Numerical performance of penalty method for American option pricing
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
- Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- An efficient numerical method for pricing option under jump diffusion model
- Wavelet method for option pricing under the two-asset Merton jump-diffusion model.
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Numerical valuation of European and American options under Merton's model
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- scientific article; zbMATH DE number 6746630 (Why is no real title available?)
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- A power penalty approach to American option pricing with jump diffusion processes
- Finite volume method for pricing European and American options under jump-diffusion models
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
- A computational scheme for uncertain volatility model in option pricing
- A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes
- Comparison of numerical methods on pricing equations with non-Lévy jumps
- A penalty method for American options with jump diffusion processes
- Radial basis functions with application to finance: American put option under jump diffusion
- Discrete-time bond and option pricing for jump-diffusion processes
- A computational scheme for option under jump diffusion processes
- Numerical approximation of option pricing model under jump diffusion using the Laplace transformation method
- Option pricing in jump diffusion models with quadratic spline collocation
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- A numerical method for option pricing under jump-diffusion process
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
This page was built for publication: Pricing options under jump diffusion processes with fitted finite volume method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q945264)
