Option pricing in some non-Lévy jump models

DOI10.1137/15M1048926zbMATH Open1345.60096OpenAlexW3121267792MaRDI QIDQ5739799FDOQ5739799

Authors: Lingfei Li, Gongqiu Zhang 

Publication date: 20 July 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1048926

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zbMATH Keywords

option pricingfinite difference approximationjump processestime changesubordinate diffusionsmatrix eigendecomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

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Cited In (22)

• Time-squeezing and time-expanding transformations in harmonic force fields
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
• Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
• Speed and duration of drawdown under general Markov models
• Closed-form option pricing for exponential Lévy models: a residue approach
• A general valuation framework for SABR and stochastic local volatility models
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
• Cliquet option pricing in a jump-diffusion Lévy model
• Equivalent measure changes for subordinate diffusions
• Title not available (Why is that?)
• Pure jump models for pricing and hedging VIX derivatives
• Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
• Markov chain approximation of one-dimensional sticky diffusions
• Parametric inference for discretely observed subordinate diffusions
• Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
• Early exercise boundary and option prices in Lévy driven models
• Nonparametric jump variation measures from options
• A theory of non‐Gaussian option pricing
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
• A general approach for lookback option pricing under Markov models
• A general framework for time-changed Markov processes and applications
• Optimal hitting time and perpetual option in a non-Lévy model: application to real options

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