A combined compact difference scheme for option pricing in the exponential jump-diffusion models
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Publication:2142005
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Cites work
- A HODIE finite difference scheme for pricing American options
- A New Compact Finite Difference Method for Solving the Generalized Long Wave Equation
- A fast solver of the shallow water equations on a sphere using a combined compact difference scheme.
- A new direct method for solving the Black-Scholes equation
- A new kind of parallel finite difference method for the quanto option pricing model
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A penalty method for American options with jump diffusion processes
- A second-order tridiagonal method for American options under jump-diffusion models
- A three-point combined compact difference scheme
- A three-point sixth-order nonuniform combined compact difference scheme
- A three-point sixth-order staggered combined compact difference scheme
- Multi-core CPUs, clusters, and grid computing: A tutorial
- Numerical solution of generalized Black-Scholes model
- Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
- Option pricing when underlying stock returns are discontinuous
- Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
- Robust numerical methods for contingent claims under jump diffusion processes
- Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- Tools for computational finance.
- Variable separation method for a nonlinear time fractional partial differential equation with forcing term
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
- scientific article; zbMATH DE number 6380317 (Why is no real title available?)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
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