Finite volume methods for pricing jump-diffusion option model
DOI10.11908/J.ISSN.0253-374X.2016.09.022zbMATH Open1389.91128MaRDI QIDQ2987181FDOQ2987181
Authors: Xiao-Ting Gan, Jun-Feng Yin, Rui Li 
Publication date: 17 May 2017
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finite volume methodlinear complementarity problemmodulus-based successive overrelaxation methodKou jump-diffusion option model
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)
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
- Title not available (Why is that?)
- 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
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