A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

DOI10.21314/JCF.2010.222zbMath1284.91575OpenAlexW2424720548MaRDI QIDQ5411503

Jari Toivanen

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.222

Mathematics Subject Classification ID

Related Items (16)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION ⋮ Pricing pension plans under jump-diffusion models for the salary ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ A new operator splitting method for American options under fractional Black-Scholes models ⋮ A finite difference scheme for pricing American put options under Kou's jump-diffusion model ⋮ Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models ⋮ Algorithms of finite difference for pricing American options under fractional diffusion models ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models ⋮ Fast exponential time integration scheme for option pricing with jumps ⋮ A fast numerical method to price American options under the Bates model ⋮ An iterative method for pricing American options under jump-diffusion models ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

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