Fast exponential time integration scheme for option pricing with jumps.
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Publication:4909730
Iterative numerical methods for linear systems (65F10) Numerical computation of matrix exponential and similar matrix functions (65F60) Numerical methods for ordinary differential equations (65L99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A jump-diffusion model for option pricing
- A least square extrapolation method for improving solution accuracy of PDE computations
- A novel pricing method for European options based on Fourier-cosine series expansions
- An Introduction to Iterative Toeplitz Solvers
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Exponential time integration for fast finite element solutions of some financial engineering problems
- scientific article; zbMATH DE number 1953444 (Why is no real title available?)
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Numerical valuation of options with jumps in the underlying
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Option pricing when underlying stock returns are discontinuous
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- RD-rational approximations of the matrix exponential
- Robust numerical methods for contingent claims under jump diffusion processes
- Shift-invert Arnoldi approximation to the Toeplitz matrix exponential
- Singular values and eigenvalues of non-Hermitian block Toeplitz matrices
- The pricing of options and corporate liabilities
- The scaling and squaring method for the matrix exponential revisited
Cited in
(16)- Exponential time integration for fast finite element solutions of some financial engineering problems
- 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
- Fast computation of the matrix exponential for a Toeplitz matrix
- A fast stationary iterative method for a partial integro-differential equation in pricing options
- 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
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
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