Finite volume methods for pricing jump-diffusion option model

DOI10.11908/J.ISSN.0253-374X.2016.09.022MaRDI QIDQ2987181zbMATH OpenFDO

Authors Xiao-Ting Gan, Jun-Feng Yin, Rui Li

Publication date 17 May 2017

zbMATH Keywords

finite volume methodlinear complementarity problemmodulus-based successive overrelaxation methodKou jump-diffusion option model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cited in

(12)

• High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
• Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
• Numerical analysis of novel finite difference methods
• scientific article; zbMATH DE number 6746630 (Why is no real title available?)
• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
• Finite volume method for pricing European and American options under jump-diffusion models
• A quadratic finite volume method for pricing American options
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
• Pricing options under jump diffusion processes with fitted finite volume method
• scientific article; zbMATH DE number 7589106 (Why is no real title available?)

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