Optimal exercise boundary via intermediate function with jump risk

DOI10.1007/S13160-017-0261-0MaRDI QIDQ1684772zbMATH OpenOpenAlexFDO

Authors Beom Jin Kim, Yong-Ki Ma, Hi Jun Choe

Publication date 12 December 2017

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-017-0261-0

zbMATH Keywords

American put optionintermediate functionjump riskoptimal exercise boundary

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A jump-diffusion model for option pricing
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• A penalty method for American options with jump diffusion processes
• Accurate Evaluation of European and American Options Under the CGMY Process
• Analytical valuation of American options on jump-diffusion processes.
• Direct computation for American put option and free boundary using finite difference method
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Option pricing when underlying stock returns are discontinuous
• Pricing American options when asset prices jump
• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• The pricing of options and corporate liabilities

Cited in

(5)

• On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
• An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
• Analysis of the optimal exercise boundary of American options for jump diffusions
• Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
• Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options

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