Fast exponential time integration scheme for option pricing with jumps.
DOI10.1002/NLA.749zbMATH Open1274.91481OpenAlexW2007098018MaRDI QIDQ4909730FDOQ4909730
Spike T. Lee, Xin Liu, Hai-Wei Sun
Publication date: 21 March 2013
Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nla.749
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Numerical methods for ordinary differential equations (65L99) Numerical computation of matrix exponential and similar matrix functions (65F60)
Cites Work
- The scaling and squaring method for the matrix exponential revisited
- The pricing of options and corporate liabilities
- A Jump-Diffusion Model for Option Pricing
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Option pricing when underlying stock returns are discontinuous
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Title not available (Why is that?)
- An Introduction to Iterative Toeplitz Solvers
- Shift-Invert Arnoldi Approximation to the Toeplitz Matrix Exponential
- Singular values and eigenvalues of non-Hermitian block Toeplitz matrices
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- RD-rational approximations of the matrix exponential
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Numerical valuation of options with jumps in the underlying
- Robust numerical methods for contingent claims under jump diffusion processes
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- A least square extrapolation method for improving solution accuracy of PDE computations
- Exponential time integration for fast finite element solutions of some financial engineering problems
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Cited In (11)
- Numerical solution for multi-dimensional Riesz fractional nonlinear reaction-diffusion equation by exponential Runge-Kutta method
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Second-order maximum principle preserving Strang's splitting schemes for anisotropic fractional Allen-Cahn equations
- Rational Krylov methods in exponential integrators for European option pricing
- A Fast Two-Level Strang Splitting Method for Multi-Dimensional Spatial Fractional Allen-Cahn Equations with Discrete Maximum Principle
- The exponential of quasi block-Toeplitz matrices
- Exponential Runge-Kutta method for two-dimensional nonlinear fractional complex Ginzburg-Landau equations
- Optimal preconditioners for functions of matrices
- Numerical study of a fast two-level Strang splitting method for spatial fractional Allen-Cahn equations
- A dimensional splitting exponential time differencing scheme for multidimensional fractional Allen-Cahn equations
- Fast numerical solution for fractional diffusion equations by exponential quadrature rule
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