Option pricing under a jump-telegraph diffusion model with jumps of random size
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Publication:5031709
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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Cites work
- scientific article; zbMATH DE number 3174818 (Why is no real title available?)
- scientific article; zbMATH DE number 947827 (Why is no real title available?)
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A jump telegraph model for option pricing
- A jump-diffusion model for option pricing
- A penalty method for American options with jump diffusion processes
- A stochastic model related to the telegrapher's equation
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Jump telegraph processes and financial markets with memory
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Numerical valuation of options with jumps in the underlying
- On prices' evolutions based on geometric telegrapher's process
- Option pricing driven by a telegraph process with random jumps
- Option pricing model based on a Markov-modulated diffusion with jumps
- Option pricing under jump-diffusion processes with regime switching
- Option pricing when underlying stock returns are discontinuous
- Robust numerical methods for contingent claims under jump diffusion processes
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- Telegraph processes and option pricing
- The pricing of options and corporate liabilities
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