Adaptive finite differences and IMEX time-stepping to price options under Bates model
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Publication:2804503
DOI10.1080/00207160.2015.1072173zbMATH Open1386.91170OpenAlexW2133435652WikidataQ110234082 ScholiaQ110234082MaRDI QIDQ2804503FDOQ2804503
Authors: Lina von Sydow, Jari Toivanen 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-262065
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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
- BENCHOP -- the benchmarking project in option pricing
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Operator splitting methods for pricing American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
- Computational Methods for Option Pricing
- Penalty methods for American options with stochastic volatility
- Space-time adaptive finite difference method for European multi-asset options
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Efficient numerical methods for pricing American options under stochastic volatility
- Operator splitting methods for American option pricing.
- Numerical valuation of options with jumps in the underlying
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- A penalty method for American options with jump diffusion processes
- A second-order tridiagonal method for American options under jump-diffusion models
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- Robust numerical methods for contingent claims under jump diffusion processes
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- A finite element discretization method for option pricing with the Bates model
- An iterative method for pricing American options under jump-diffusion models
- Pricing American options using a space-time adaptive finite difference method
- A multigrid preconditioner for an adaptive Black-Scholes solver
- IMEX schemes for pricing options under jump-diffusion models
Cited In (25)
- High-order time stepping scheme for pricing American option under bates model
- 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
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- ADI schemes for valuing European options under the Bates model
- High-order compact finite difference scheme for pricing American options under the Bates model
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- A finite element discretization method for option pricing with the Bates model
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- A componentwise splitting method for pricing American options under the Bates model
- 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 ADI splitting scheme for stochastic volatility model with jump
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- Pricing American options using a space-time adaptive finite difference method
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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