Fast exponential time integration scheme for option pricing with jumps

DOI10.1002/nla.749zbMath1274.91481OpenAlexW2007098018MaRDI 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 pricingmatrix exponentialjump diffusion modelsshift-and-invert Arnoldi method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Numerical methods for ordinary differential equations (65L99) Numerical computation of matrix exponential and similar matrix functions (65F60)

Related Items

Second-order maximum principle preserving Strang's splitting schemes for anisotropic fractional Allen-Cahn equations, The exponential of quasi block-Toeplitz matrices, A dimensional splitting exponential time differencing scheme for multidimensional fractional Allen-Cahn equations, Exponential Runge-Kutta method for two-dimensional nonlinear fractional complex Ginzburg-Landau equations, 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, Optimal preconditioners for functions of matrices, Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models, 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, Rational Krylov methods in exponential integrators for European option pricing

Uses Software

• MATLAB expm

Cites Work

• Unnamed Item
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