Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models

DOI10.1016/J.CAM.2012.07.028zbMATH Open1260.91259OpenAlexW2076813338MaRDI QIDQ455849FDOQ455849

Authors: Jaewook Lee, Younhee Lee 

Publication date: 22 October 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.07.028

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• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

zbMATH Keywords

option pricingfinite difference methodlinear complementarity problempartial integro-differential equationinfinite-activity model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-differential operators (47G20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (6)

• A new operator splitting method for American options under fractional Black-Scholes models
• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
• A second-order tridiagonal method for American options under jump-diffusion models

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