IMEX schemes for pricing options under jump-diffusion models

DOI10.1016/j.apnum.2014.05.007zbMath1291.91234OpenAlexW2081787832WikidataQ110224787 ScholiaQ110224787MaRDI QIDQ2250990

Jari Toivanen, Santtu Salmi

Publication date: 10 July 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2014.05.007

zbMATH Keywords

stabilityoption pricinglinear multistep methodsjump-diffusion modelimplicit-explicit methods

Mathematics Subject Classification ID

Related Items (33)

Isogeometric analysis in option pricing ⋮ Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility jump models ⋮ Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models ⋮ A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Operator splitting schemes for the two-asset Merton jump-diffusion model ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ Operator splitting schemes for American options under the two-asset Merton jump-diffusion model ⋮ RBF-PU method for pricing options under the jump-diffusion model with local volatility ⋮ ADI schemes for valuing European options under the Bates model ⋮ On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model ⋮ European rainbow option values under the two-asset Merton jump-diffusion model ⋮ IMEX schemes for a parabolic-ODE system of European options with liquidity shocks ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ BENCHOP – The BENCHmarking project in option pricing ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model ⋮ A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ Numerical study for European option pricing equations with non-levy jumps ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Cites Work

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