Sinc-Galerkin method for the option pricing under jump-diffusion model

MaRDI QIDQ3018877zbMATH OpenFDO

Authors Jun Liu, Hai-Wei Sun

Publication date 27 July 2011

zbMATH Keywords

domain decompositionjump-diffusion modelsinc methodimplicit-explicit scheme

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cited in

(3)

• A Flexible Galerkin Scheme for Option Pricing in Lévy Models
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

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