Comparison of numerical methods on pricing equations with non-Lévy jumps

DOI10.1007/S12190-015-0931-5zbMATH Open1349.91307OpenAlexW1734918799MaRDI QIDQ330364FDOQ330364

Authors: Taeyoung Ha, Kiseop Lee, Myoungnyoun Kim 

Publication date: 25 October 2016

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-015-0931-5

Recommendations

• Numerical study for European option pricing equations with non-Levy jumps
• Pricing options under jump diffusion processes with fitted finite volume method
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A computational scheme for option under jump diffusion processes
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

zbMATH Keywords

option pricingCrank-Nicolsonpartial integro-differential equationjump processpredictor-correctorhedging problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Hedging claims with feedback jumps in the price process
• Insiders' hedging in a jump diffusion model
• Numerical solution of two asset jump diffusion models for option valuation
• Robust numerical methods for contingent claims under jump diffusion processes
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• Integro-differential equations for option prices in exponential Lévy models
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• A computational scheme for option under jump diffusion processes
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Numerical methods for Lévy processes

Cited In (5)

• Numerical study for European option pricing equations with non-Levy jumps
• Recent advances in numerical solution of HJB equations arising in option pricing
• Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations
• Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach
• A comparison study of explicit and implicit numerical methods for the equity-linked securities

This page was built for publication: Comparison of numerical methods on pricing equations with non-Lévy jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q330364)