A second-order tridiagonal method for American options under jump-diffusion models
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Publication:3103546
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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(39)- 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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- High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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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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- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A new operator splitting method for American options under fractional Black-Scholes models
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
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- Stochastic approximation methods for American type options
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- Financial options pricing with regime-switching jump-diffusions
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Numerical schemes for option pricing in regime-switching jump diffusion models
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
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- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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