Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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Publication:4903538
American optionfinite difference methodlinear complementarity problemiterative methodjump-diffusion model
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)
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Cites work
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A jump-diffusion model for option pricing
- A new predictor-corrector scheme for valuing American puts
- A novel pricing method for European options based on Fourier-cosine series expansions
- A penalty method for American options with jump diffusion processes
- A second-order tridiagonal method for American options under jump-diffusion models
- A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
- A semilinear equation for the American option in a general jump market
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- An exact and explicit solution for the valuation of American put options
- An iterative method for pricing American options under jump-diffusion models
- Efficient solution of a partial integro-differential equation in finance
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast deterministic pricing of options on Lévy driven assets
- Fast numerical valuation of American, exotic and complex options
- Financial Modelling with Jump Processes
- Finite element solution of diffusion problems with irregular data
- Front-tracking finite difference methods for the valuation of American options
- Implicit-explicit numerical schemes for jump-diffusion processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Methods for pricing American options under regime switching
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
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- Operator splitting methods for pricing American options under stochastic volatility
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- Option pricing when underlying stock returns are discontinuous
- Parabolic variational inequalities: the Lagrange multiplier approach
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- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Quadratic convergence for valuing American options using a penalty method
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
- Variational inequalities and the pricing of American options
- Wavelet Galerkin pricing of American options on Lévy driven assets
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
- An RBF-FD method for pricing American options under jump-diffusion models
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- 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
- An efficient finite element method for pricing American multi-asset put options
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- 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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