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

DOI10.1023/A:1011354913068zbMATH Open1274.91398MaRDI QIDQ375333FDOQ375333

Authors: Jesper Andreasen, L. Andersen 

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

local timevolatility smilefast Fourier transformjump-diffusion processADI finite difference methodforward equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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

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• 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
• 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
• Implicit-explicit numerical schemes for jump-diffusion processes

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