An efficient numerical method for pricing option under jump diffusion model
DOI10.1007/S12572-015-0136-ZzbMATH Open1342.91042OpenAlexW1940115485MaRDI QIDQ531075FDOQ531075
Authors: M. K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi 
Publication date: 3 August 2016
Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12572-015-0136-z
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option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Cites Work
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Cited In (24)
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Title not available (Why is that?)
- Numerical simulations for the pricing of options in jump diffusion markets
- Robust numerical methods for contingent claims under jump diffusion processes
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- A computational scheme for option under jump diffusion processes
- An efficient numerical method for pricing a Russian option with a finite time horizon
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- A numerical method for option pricing under jump-diffusion process
- Radial basis function generated finite differences for option pricing problems
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