An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
DOI10.1002/MMA.5539zbMATH Open1417.65150OpenAlexW2918281123MaRDI QIDQ5380920FDOQ5380920
Authors: Yingzi Chen, Aiguo Xiao, Wansheng Wang 
Publication date: 6 June 2019
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.5539
Recommendations
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- IMEX schemes for pricing options under jump-diffusion models
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- Numerical schemes for option pricing in regime-switching jump diffusion models
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Option pricing under regime-switching jump-diffusion models
- Option pricing under jump-diffusion processes with regime switching
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
option pricingpartial integro-differential equationregime-switching jump-diffusion modelfinite difference compact schemeimplicit-explicit backward differentiation formula
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
Cited In (34)
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- A Crank-Nicolson fitted finite volume method for pricing European options under regime switching
- Radial basis function partition of unity procedure combined with the reduced-order method for solving Zakharov-Rubenchik equations
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- High-order methods for exotic options and Greeks under regime-switching jump-diffusion models
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Pricing European options under stochastic looping contagion risk model
- A spectral element method for option pricing under regime-switching with jumps
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- A second-order ADI method for pricing options under fractional regime-switching models
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- L∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- 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
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
This page was built for publication: An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5380920)
