scientific article; zbMATH DE number 7598116

MaRDI QIDQ5038729zbMATH OpenFDO

Authors R. Mohamadinejad, J. Biazar, A. Neisy

Publication date 7 October 2022

zbMATH Keywords

alternating direction Implicitinterest ratejump-diffusion modelsnumerical methodspread option pricing

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(8)

• Pricing spread options with stochastic interest rates
• ADI method of credit spread option pricing based on jump-diffusion model
• scientific article; zbMATH DE number 7409960 (Why is no real title available?)
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
• Modeling of certain problems in financial mathematics: Spread option pricing
• An RBF approach for oil futures pricing under the jump-diffusion model
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model

Describes a project that uses

Uses Software

• Matlab

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