Numerical valuation of European and American options under Merton's model
American optionscompact difference schemediscontinuous Galerkin finite elementEuropean optionsMerton's jump-diffusion model
Integro-partial differential equations (45K05) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- Pricing options under jump diffusion processes with fitted finite volume method
- Numerical valuation of options with jumps in the underlying
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Fast numerical valuation of options with jump under Merton's model
- \(hp\)-discontinuous Galerkin time stepping for parabolic problems
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A high-order finite difference method for option valuation
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- A penalty method for American options with jump diffusion processes
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- An RBF-FD method for pricing American options under jump-diffusion models
- Compact finite difference schemes with spectral-like resolution
- DG method for pricing European options under Merton jump-diffusion model.
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast numerical valuation of options with jump under Merton's model
- scientific article; zbMATH DE number 1967777 (Why is no real title available?)
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- On the Stability of the Discontinuous Galerkin Method for the Heat Equation
- Option pricing when underlying stock returns are discontinuous
- Robust numerical methods for contingent claims under jump diffusion processes
- Runge--Kutta discontinuous Galerkin methods for convection-dominated problems
- Smoothing of initial data and rates of convergence for parabolic difference equations
- Stock price distributions with stochastic volatility: an analytic approach
- The Local Discontinuous Galerkin Method for Time-Dependent Convection-Diffusion Systems
- The pricing of options and corporate liabilities
- Time discretization of parabolic problems by the discontinuous Galerkin method
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- DG method for pricing European options under Merton jump-diffusion model.
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Fast numerical valuation of options with jump under Merton's model
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
This page was built for publication: Numerical valuation of European and American options under Merton's model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6099987)
