2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models

DOI10.1007/978-3-319-59387-6_14zbMath1418.91600OpenAlexW2756469558MaRDI QIDQ4562628

M. Fakharany, Rafael Company, Lucas Jodar

Publication date: 17 December 2018

Published in: Integral Methods in Science and Engineering, Volume 2 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-59387-6_14

zbMATH Keywords

finite difference methodjump-diffusionpartial integro-differential equationtwo-asset option pricing

Mathematics Subject Classification ID

Cites Work

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• Positive finite difference schemes for a partial integro-differential option pricing model
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Numerical solution of two asset jump diffusion models for option valuation
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• High-order computational methods for option valuation under multifactor models
• Far Field Boundary Conditions for Black--Scholes Equations
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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