Numerical analysis on binomial tree methods for a jump-diffusion model.
DOI10.1016/S0377-0427(02)00903-2zbMATH Open1054.91044OpenAlexW2010419547MaRDI QIDQ1398421FDOQ1398421
Authors: Chenglong Xu, Xiao-Song Qian, Lishang Jiang 
Publication date: 29 July 2003
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-0427(02)00903-2
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- scientific article; zbMATH DE number 2104606
option pricingequationsBinomial tree methodbinomial tree method explicit differenceExplicit difference methodintegro-partial differential
Numerical methods (including Monte Carlo methods) (91G60) Smoothness and regularity of solutions to PDEs (35B65) Integro-partial differential equations (45K05)
Cites Work
- The pricing of options and corporate liabilities
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- Martingales and arbitrage in multiperiod securities markets
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- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- Residual risks and hedging strategies in Markovian markets
Cited In (16)
- Numerical stability of a hybrid method for pricing options
- Valuation of \(N\)-stage investments under jump-diffusion processes
- Computation of Greeks using binomial trees in a jump-diffusion model
- Improvement of using binomial tree method in pricing options
- Convergence rate of free boundary of numerical scheme for American option
- The method of binary tree about financial derivatives
- An implicit scheme for American put options
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- Johnson binomial trees
- Convergence of the binomial tree method for Asian options in jump-diffusion models
- Weak convergence of tree methods to price options on defaultable assets
- Analytical binomial lookback options with double-exponential jumps
- Binomial tree method for option pricing: discrete cosine transform approach
- On the rate of convergence of the binomial tree scheme for American options
- Diffusion equations: convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
- 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
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