A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
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Initial-boundary value problems for second-order parabolic equations (35K20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- A continuity correction for discrete barrier options
- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A jump to default extended CEV model: an application of Bessel processes
- A new fourth-order numerical scheme for option pricing under the CEV model
- A penalty method for American options with jump diffusion processes
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- An explicit finite difference approach to the pricing of barrier options
- Analysis of quadrature methods for pricing discrete barrier options
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
- Continuity correction for discrete barrier options with two barriers
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Efficient implicit scheme with positivity preserving and smoothing properties
- Fast and accurate pricing of discretely monitored barrier options by numerical path integration
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- scientific article; zbMATH DE number 635667 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
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- Mathematical models of financial derivatives
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- Numerical valuation of discrete double barrier options
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- Option pricing when underlying stock returns are discontinuous
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- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing double barrier options using Laplace transforms
- Pricing double-barrier options under a flexible jump diffusion model
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time
- Robust numerical methods for contingent claims under jump diffusion processes
- Simulation of jump diffusions and the pricing of options
- Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
- Systematic equity-based credit risk: A CEV model with jump to default
- The pricing of options and corporate liabilities
Cited in
(7)- Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Robust numerical algorithm to the European option with illiquid markets
- High-order exponential spline method for pricing European options
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Continuity correction: on the pricing of discrete double barrier options
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