Construction of positivity preserving numerical method for jump-diffusion option pricing models

DOI10.1016/j.cam.2017.02.006zbMath1371.60123OpenAlexW2588686247MaRDI QIDQ2400313

Hua Yang, Weiwei Men, Jian-Guo Tan, Yong-Feng Guo

Publication date: 28 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.02.006

zbMATH Keywords

option pricingnumerical solutionjump-diffusionspositivity preservationbalanced implicit methodstochastic diferential equations

Mathematics Subject Classification ID

Related Items (13)

Structure preserving numerical analysis of reaction-diffusion models ⋮ The numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment ⋮ Continuous stage stochastic Runge-Kutta methods ⋮ The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model ⋮ Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ A positivity preserving numerical method for stochastic R\&D model ⋮ The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs ⋮ A positivity-preserving numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment

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