Fast numerical valuation of options with jump under Merton's model

DOI10.1016/j.cam.2016.11.038zbMath1355.91083OpenAlexW2558203600MaRDI QIDQ507854

Yingzi Chen, Wan-Sheng Wang

Publication date: 9 February 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.038

zbMATH Keywords

American option pricingfinite difference methodsmultigrid methodsEuropean option pricingdiscontinuous Galerkin finite element methodsMerton's jump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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