A combined compact difference scheme for option pricing in the exponential jump-diffusion models
DOI10.1186/S13662-019-2431-7zbMATH Open1487.91161OpenAlexW2993437147WikidataQ115518547 ScholiaQ115518547MaRDI QIDQ2142005FDOQ2142005
Authors: Rahman Akbari, Mohammad Taghi Jahandideh, R. Mokhtari 
Publication date: 25 May 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-019-2431-7
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (6)
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- Title not available (Why is that?)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
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