Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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Publication:5320693
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Theoretical approximation in context of PDEs (35A35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
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- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
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- American-style options in jump-diffusion models: estimation and evaluation
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- Numerical analysis of novel finite difference methods
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- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Numerical valuation of European and American options under Merton's model
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- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Comparison of implicit-explicit and Newton linearized variable two-step BDF methods for semilinear parabolic equations
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
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- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
- Numerical schemes for option pricing in regime-switching jump diffusion models
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- Numerical valuation of options with jumps in the underlying
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- Fast numerical valuation of options with jump under Merton's model
- Using spectral element method to solve variational inequalities with applications in finance
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Corporate debt value under transition scenario uncertainty
- IMEX schemes for pricing options under jump-diffusion models
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Pricing pension plans under jump-diffusion models for the salary
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