A second-order tridiagonal method for American options under jump-diffusion models
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Publication:3103546
DOI10.1137/100806552zbMATH Open1227.91034OpenAlexW1980666017MaRDI QIDQ3103546FDOQ3103546
Authors: Younhee Lee, Yong-Hoon Kwon 
Publication date: 7 December 2011
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: http://oasis.postech.ac.kr/handle/2014.oak/12934
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finite difference methodlinear complementarity problempartial integro-differential equationoperator splitting methodAmerican option pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-differential operators (47G20) 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)
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- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
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- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
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- A new operator splitting method for American options under fractional Black-Scholes models
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- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- Stability of an implicit method to evaluate option prices under local volatility with jumps
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- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
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- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
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