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)

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• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
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• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
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• 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
• An efficient numerical method for pricing option under jump diffusion model
• Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
• 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
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• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
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• 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
• Numerical schemes for option pricing in regime-switching jump diffusion models
• Implicit-explicit numerical schemes for jump-diffusion processes
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• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
• Exact pricing with stochastic volatility and jumps
• A computational scheme for uncertain volatility model in option pricing
• A spectral element method to price European options. I. Single asset with and without jump diffusion
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
• Estimation and prediction under local volatility jump-diffusion model
• Comparison of numerical methods on pricing equations with non-Lévy jumps
• Numerical methods for Lévy processes
• Numerical valuation of options with jumps in the underlying
• A componentwise splitting method for pricing American options under the Bates model
• Risk premia and optimal liquidation of credit derivatives
• Continuously monitored barrier options under Markov processes
• A penalty method for American options with jump diffusion processes
• A radial basis function scheme for option pricing in exponential Lévy models
• Fast numerical valuation of options with jump under Merton's model
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• Discrete-time bond and option pricing for jump-diffusion processes
• Calibration and hedging under jump diffusion
• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• On the numerical evaluation of option prices in the variance gamma model
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• Model-independent lower bound on variance swaps
• A fast stationary iterative method for a partial integro-differential equation in pricing options
• Local volatility of volatility for the VIX market
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton 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
• Measuring impact of random jumps without sample path generation
• 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
• Exchange option pricing in jump-diffusion models based on Esscher transform
• ADI schemes for valuing European options under the Bates model
• Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
• 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
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
• Option pricing in some non-Lévy jump models
• 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
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

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