European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme

DOI10.3934/DCDSS.2020052zbMATH Open1437.91456OpenAlexW2922167423WikidataQ128192819 ScholiaQ128192819MaRDI QIDQ2180342FDOQ2180342

Ali Akgül, Fazlollah Soleymani

Publication date: 13 May 2020

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2020052

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zbMATH Keywords

method of linesjump-diffusion modelMathematicanonlocal integralGaussian function

Mathematics Subject Classification ID

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

• The pricing of options and corporate liabilities
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• Tensor Spaces and Numerical Tensor Calculus
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• Numerical solution of two asset jump diffusion models for option valuation
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• Comparison of software for computing the action of the matrix exponential
• The Mathematica GuideBook for Numerics
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• Robust numerical methods for contingent claims under jump diffusion processes
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• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
• Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988
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• A fast numerical method to price American options under the Bates model
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process
• Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
• Introduction to Mathematica® with Applications
• A posteriori error analysis for FEM of American options
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• The Time-Discrete Method of Lines for Options and Bonds
• Adaptive finite differences and IMEX time-stepping to price options under Bates model
• High accurate finite differences based on RBF interpolation and its application in solving differential equations

Cited In (3)

• ADI schemes for valuing European options under the Bates model
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Computational algorithm for financial mathematical model based on European option

Uses Software

• Mathematica
• Matlab
• mftoolbox

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