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