Fast exponential time integration scheme for option pricing with jumps

DOI10.1002/nla.749zbMath1274.91481MaRDI QIDQ4909730

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

zbMATH Keywords

option pricing; matrix exponential; jump diffusion models; shift-and-invert Arnoldi method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65F10: Iterative numerical methods for linear systems

65L99: Numerical methods for ordinary differential equations

65F60: Numerical computation of matrix exponential and similar matrix functions

Related Items

Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models, Rational Krylov methods in exponential integrators for European option pricing, Numerical study of a fast two-level Strang splitting method for spatial fractional Allen-Cahn equations, A Fast Two-Level Strang Splitting Method for Multi-Dimensional Spatial Fractional Allen-Cahn Equations with Discrete Maximum Principle, Fast numerical solution for fractional diffusion equations by exponential quadrature rule, Numerical solution for multi-dimensional Riesz fractional nonlinear reaction-diffusion equation by exponential Runge-Kutta method, Second-order maximum principle preserving Strang's splitting schemes for anisotropic fractional Allen-Cahn equations, 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, A dimensional splitting exponential time differencing scheme for multidimensional fractional Allen-Cahn equations

Uses Software

• MATLAB expm

Cites Work

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