Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models

DOI10.4208/eajam.260316.061016azbMath1375.91241OpenAlexW2611871352MaRDI QIDQ5372098

Jun-Feng Yin, Xiao-Ting Gan, Yunxiang Guo

Publication date: 24 October 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.260316.061016a

zbMATH Keywords

finite volume methodoption pricinglinear complementarity problemsGMRES methodjump-diffusion modelsmodulus-based successive overrelaxation method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Method of lines for boundary value problems involving PDEs (65N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (4)

Unnamed Item ⋮ 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 ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• An iterative method for pricing American options under jump-diffusion models
• Pricing options under jump diffusion processes with fitted finite volume method
• A penalty method for American options with jump diffusion processes
• Augmented Lagrangian method applied to American option pricing
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS
• Modulus-based matrix splitting iteration methods for linear complementarity problems
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Robust numerical methods for contingent claims under jump diffusion processes
• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
• A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

This page was built for publication: Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models