Accurate Evaluation of European and American Options Under the CGMY Process
From MaRDI portal
Publication:5444244
DOI10.1137/050637613zbMath1151.91473MaRDI QIDQ5444244
Cornelis W. Oosterlee, Ariel Almendral
Publication date: 25 February 2008
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: http://resolver.tudelft.nl/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82
65R20: Numerical methods for integral equations
45K05: Integro-partial differential equations
45D05: Volterra integral equations
Related Items
A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models, SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS, Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs, A comparison of iterated optimal stopping and local policy iteration for American options under regime switching, First steps towards an equilibrium theory for Lévy financial markets, Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme, A posteriori error analysis for a class of integral equations and variational inequalities, Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions, A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models, Optimal exercise boundary via intermediate function with jump risk, Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models, Positive solutions of European option pricing with CGMY process models using double discretization difference schemes, A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation, An approach for solving perpetual optimal stopping problems driven by Lévy processes
