Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models

DOI10.1080/00207160.2012.669475zbMATH Open1255.91410OpenAlexW2140841759WikidataQ110124812 ScholiaQ110124812MaRDI QIDQ4903538FDOQ4903538

Authors: Santtu Salmi, Jari Toivanen 

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.669475

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zbMATH Keywords

American optionfinite difference methodlinear complementarity problemiterative methodjump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

Cites Work

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Cited In (14)

• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
• Pricing American options under jump-diffusion models using local weak form meshless techniques
• An RBF-FD method for pricing American options under jump-diffusion models
• Finite volume method for pricing European and American options under jump-diffusion models
• RBF-PU method for pricing options under the jump-diffusion model with local volatility
• Numerical schemes for option pricing in regime-switching jump diffusion models
• Estimation and prediction under local volatility jump-diffusion model
• Title not available (Why is that?)
• An efficient finite element method for pricing American multi-asset put options
• IMEX schemes for pricing options under jump-diffusion models
• A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
• Algorithms of finite difference for pricing American options under fractional diffusion models

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