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

DOI10.1007/S12190-015-0931-5MaRDI QIDQ330364zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 43732 (Why is no real title available?)
• A computational scheme for option under jump diffusion processes
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• Financial Modelling with Jump Processes
• Hedging claims with feedback jumps in the price process
• Insiders' hedging in a jump diffusion model
• Integro-differential equations for option prices in exponential Lévy models
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Numerical methods for Lévy processes
• Numerical solution of two asset jump diffusion models for option valuation
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• Robust numerical methods for contingent claims under jump diffusion processes
• Wavelet Galerkin pricing of American options on Lévy driven assets

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)