An iterative method for pricing American options under jump-diffusion models
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Publication:534258
American optionfinite difference methodlinear complementarity problemiterative methodjump-diffusion model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite difference methods for boundary value problems involving PDEs (65N06)
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Cites work
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- The pricing of options and corporate liabilities
Cited in
(53)- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Finite volume method for pricing European and American options under jump-diffusion models
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- A penalty method for American options with jump diffusion processes
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- ADI schemes for valuing European options under the Bates model
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- An RBF-FD method for pricing American options under jump-diffusion models
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- scientific article; zbMATH DE number 6311734 (Why is no real title available?)
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Pricing pension plans under jump-diffusion models for the salary
- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- A second-order tridiagonal method for American options under jump-diffusion models
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Direct computation for American put option and free boundary using finite difference method
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- A local radial basis function method for pricing options under the regime switching model
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- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
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- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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- Fast numerical valuation of options with jump under Merton's model
- An approximation of American option prices in a jump-diffusion model
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
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- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
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