An iterative method for pricing American options under jump-diffusion models
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Publication:534258
DOI10.1016/J.APNUM.2011.02.002zbMATH Open1213.91164OpenAlexW3124053904WikidataQ110098851 ScholiaQ110098851MaRDI QIDQ534258FDOQ534258
Authors: Santtu Salmi, Jari Toivanen 
Publication date: 17 May 2011
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2011.02.002
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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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Cited In (52)
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- ADI schemes for valuing European options under the Bates model
- A local radial basis function method for pricing options under the regime switching model
- Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models
- Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method
- Modulus-based successive overrelaxation method for pricing American options
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- An RBF-FD method for pricing American options under jump-diffusion models
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- An approximation of American option prices in a jump-diffusion model
- NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- Title not available (Why is that?)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- Direct computation for American put option and free boundary using finite difference method
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- A second-order tridiagonal method for American options under jump-diffusion models
- A penalty method for American options with jump diffusion processes
- Title not available (Why is that?)
- Fast numerical valuation of options with jump under Merton's model
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- 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
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- Radial basis functions method for valuing options: a multinomial tree approach
- A fast numerical method to price American options under the Bates model
- Computing American option price under regime switching with rationality parameter
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
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- Pricing pension plans under jump-diffusion models for the salary
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
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