Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
From MaRDI portal
(Redirected from Publication:375333)
Recommendations
- A PDE approach to jump-diffusions
- Pricing options under jump diffusion processes with fitted finite volume method
- Option pricing under the jump diffusion and multifactor stochastic processes
- Discrete-time bond and option pricing for jump-diffusion processes
- Numerical valuation of options with jumps in the underlying
Cited in
(only showing first 100 items - show all)- Measuring impact of random jumps without sample path generation
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Uncertain volatility models with stochastic bounds
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- Testing for diffusion in a discretely observed semimartingale
- Shape-preserving interpolation and smoothing for options market implied volatility
- Lookback option pricing for regime-switching jump diffusion models
- Neutral and indifference pricing with stochastic correlation and volatility
- Necessary optimality conditions for the control of partial integro-differential equations
- Pricing jump risk with utility indifference
- Parametric estimation of risk neutral density functions
- ADI schemes for valuing European options under the Bates model
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- Option pricing in some non-Lévy jump models
- A splitting strategy for the calibration of jump-diffusion models
- An alternative tree method for calibration of the local volatility
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Jump-diffusion modeling in emission markets
- Valuing early-exercise interest-rate options with multi-factor affine models
- Non-recombining trinomial tree pricing model and calibration for the volatility smile
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Modeling and implementation of local volatility surfaces in Bayesian framework
- An approximation of small-time probability density functions in a general jump diffusion model
- Option pricing in jump diffusion models with quadratic spline collocation
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Optimal exercise boundary via intermediate function with jump risk
- Stochastic differential equations with diffusion and jumps modeling currency markets
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- 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
- No-arbitrage interpolation of the option price function and its reformulation
- Parallel option pricing with Fourier space time-stepping method on graphics processing units
- Smart expansion and fast calibration for jump diffusions
- Pricing approximations and error estimates for local Lévy-type models with default
- Model-free price hedge ratios for homogeneous claims on tradable assets
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- DG method for pricing European options under Merton jump-diffusion model.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- IMEX schemes for pricing options under jump-diffusion models
- 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
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Finite volume method for pricing European and American options under jump-diffusion models
- Monte Carlo method for pricing lookback type options in Lévy models
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- The valuation and information content of options on crude-oil futures contracts
- Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities
- Jumping hedges on the strength of the Mellin transform
- Adaptive mixture for a controlled smile: the LT model
- Approximate hedging of options under jump-diffusion processes
- Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- A pricing option approach based on backward stochastic differential equation theory
- Fourier inversion formulas for multiple-asset option pricing
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
- Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Learning minimum variance discrete hedging directly from the market
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Pricing pension plans under jump-diffusion models for the salary
- Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Conservative third-order central-upwind schemes for option pricing problems
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Calibration of a Jump-Diffusion Process Using Optimal Control
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Option pricing under the jump diffusion and multifactor stochastic processes
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Bayesian uncertainty quantification of local volatility model
- Reconstruction of local volatility surface from American options
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
- A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
- PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
- Entropy binomial tree method and calibration for the volatility smile
- Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
- THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS
- AGRICULTURAL FINANCE REVENUE FUTURES CONTRACT
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
This page was built for publication: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375333)
