Numerical study for European option pricing equations with non-Levy jumps
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finite difference methodjump-diffusion processesoption pricingpartial integro-differential equations
Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on discrete state spaces (60J74) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A computational scheme for option under jump diffusion processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- Financial Modelling with Jump Processes
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Hedging claims with feedback jumps in the price process
- IMEX schemes for pricing options under jump-diffusion models
- Informed traders' hedging with news arrivals
- Insiders' hedging in a jump diffusion model
- Insiders' hedging in a stochastic volatility model
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Option hedging for semimartingales
- Pricing contingent claims on stocks driven by Lévy processes
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- The pricing of options and corporate liabilities
Cited in
(5)- Probabilistic numerical approach for PDE and its application in the valuation of European options
- Comparison of numerical methods on pricing equations with non-Lévy jumps
- The numerical strategy of tempered fractional derivative in European double barrier option
- Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options
- Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation
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