Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

Cited In (only showing first 100 items - show all)

Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
Option Pricing in Some Non-Lévy Jump Models
DG method for pricing European options under Merton jump-diffusion model.
Fractional Wishart processes and $\varepsilon$-fractional Wishart processes with applications
Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
Modeling and implementation of local volatility surfaces in Bayesian framework
Stochastic differential equations with diffusion and jumps modeling currency markets
No-arbitrage interpolation of the option price function and its reformulation
Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations
ADI schemes for valuing European options under the Bates model
A calibration procedure for analyzing stock price dynamics in an agent-based framework
Parallel option pricing with Fourier space time-stepping method on graphics processing units
A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
Pricing American options under jump-diffusion models using local weak form meshless techniques
Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
Operator splitting schemes for the two-asset Merton jump-diffusion model
Testing for diffusion in a discretely observed semimartingale
Measuring Impact of Random Jumps Without Sample Path Generation
Jump-Diffusion Modeling in Emission Markets
Lookback option pricing for regime-switching jump diffusion models
AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION
Adaptive finite differences and IMEX time-stepping to price options under Bates model
An alternative tree method for calibration of the local volatility
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Non-recombining trinomial tree pricing model and calibration for the volatility smile
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
Shape-preserving interpolation and smoothing for options market implied volatility
Pricing jump risk with utility indifference
RBF-PU method for pricing options under the jump-diffusion model with local volatility
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
Optimal exercise boundary via intermediate function with jump risk
Model-free price hedge ratios for homogeneous claims on tradable assets
A splitting strategy for the calibration of jump-diffusion models
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
Exchange option pricing in jump-diffusion models based on esscher transform
IMEX schemes for pricing options under jump-diffusion models
Neutral and indifference pricing with stochastic correlation and volatility
An approximation of small-time probability density functions in a general jump diffusion model
Option pricing in jump diffusion models with quadratic spline collocation
Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
Uncertain Volatility Models with Stochastic Bounds
Smart expansion and fast calibration for jump diffusions
Parametric Estimation of Risk Neutral Density Functions
Pricing approximations and error estimates for local Lévy-type models with default
Valuing early-exercise interest-rate options with multi-factor affine models
Computation of the unknown volatility from integral option price observations in jump-diffusion models
Systematic equity-based credit risk: A CEV model with jump to default
The calibration of volatility for option pricing models with jump diffusion processes
American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model
Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
Efficient solution of a partial integro-differential equation in finance
FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
Deformed exponentials and applications to finance
A penalty-based method from reconstructing smooth local volatility surface from American options
A PDE approach to jump-diffusions
Wavelet Galerkin pricing of American options on Lévy driven assets
On option pricing models in the presence of heavy tails
Forward equations for option prices in semimartingale models
From local volatility to local Lévy models
An RBF-FD method for pricing American options under jump-diffusion models
American-style options in jump-diffusion models: estimation and evaluation
Solutions to integro-differential problems arising on pricing options in a Lévy market
The effect of modelling parameters on the value of GMWB guarantees
Preconditioned iterative methods for fractional diffusion models in finance
NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
An efficient numerical method for pricing option under jump diffusion model
Numerical solution of two asset jump diffusion models for option valuation
Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
A new radial basis functions method for pricing American options under Merton's jump-diffusion model
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES
CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
Identification of the local speed function in a Lévy model for option pricing
Numerical solution of jump-diffusion LIBOR market models
Stability of an implicit method to evaluate option prices under local volatility with jumps
A numerical scheme for pricing American options with transaction costs under a jump diffusion process
A Componentwise Splitting Method for Pricing American Options Under the Bates Model
An iterative method for pricing American options under jump-diffusion models
A family of density expansions for Lévy-type processes
A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
Pricing American options when asset prices jump
Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
Maximum likelihood estimation of the double exponential jump-diffusion process
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
On American Options Under the Variance Gamma Process
Exponential time integration and Chebychev discretisation schemes for fast pricing of options
Pricing options under jump diffusion processes with fitted finite volume method

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