Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
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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 novel pricing method for European options based on Fourier-cosine series expansions
- Accurate Evaluation of European and American Options Under the CGMY Process
- An iterative method for pricing American options under jump-diffusion models
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Efficient solution of a partial integro-differential equation in finance
- Far field boundary conditions for Black-Scholes equations
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1639859 (Why is no real title available?)
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- scientific article; zbMATH DE number 884971 (Why is no real title available?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Monte Carlo option pricing for tempered stable (CGMY) processes
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Option pricing when underlying stock returns are discontinuous
- Option Pricing With V. G. Martingale Components1
- PDE and martingale methods in option pricing.
- Processes of normal inverse Gaussian type
- Smart expansion and fast calibration for jump diffusions
- The Generalized Integro-Exponential Function
- The Variance Gamma Process and Option Pricing
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(8)- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Multigrid method for pricing European options under the CGMY process
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- Numerical analysis of novel finite difference methods
- scientific article; zbMATH DE number 6453652 (Why is no real title available?)
- Accurate Evaluation of European and American Options Under the CGMY Process
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
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