Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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Publication:5320693
DOI10.1137/060674697zbMATH Open1178.35225OpenAlexW2000419761MaRDI QIDQ5320693FDOQ5320693
Authors: Jari Toivanen 
Publication date: 22 July 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/060674697
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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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- 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
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- Pricing pension plans under jump-diffusion models for the salary
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