A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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Publication:6120406
stabilityerror estimatesfinite difference methodjump-diffusion modelstochastic volatility modelpartial integro-differential equationsEuropean options pricingvariable step-size implicit-explicit method
Numerical methods (including Monte Carlo methods) (91G60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical solutions to equations with linear operators (65J10)
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Cites work
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- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A componentwise splitting method for pricing American options under the Bates model
- A fast numerical method to price American options under the Bates model
- A finite element discretization method for option pricing with the Bates model
- A second order backward difference method with variable steps for a parabolic problem
- A second-order tridiagonal method for American options under jump-diffusion models
- ADI schemes for valuing European options under the Bates model
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- An iterative method for pricing American options under jump-diffusion models
- Analysis of finite difference schemes. For linear partial differential equations with generalized solutions
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- High-order computational methods for option valuation under multifactor models
- IMEX schemes for pricing options under jump-diffusion models
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Linearly implicit variable step-size BDF schemes with Fourier pseudospectral approximation for incompressible Navier-Stokes equations
- Multigrid for American option pricing with stochastic volatility
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Operator splitting methods for pricing American options under stochastic volatility
- Option pricing when underlying stock returns are discontinuous
- Positive finite difference schemes for a partial integro-differential option pricing model
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
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- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- Space-time adaptive finite difference method for European multi-asset options
- Stability and error estimates for the variable step-size BDF2 method for linear and semilinear parabolic equations
- Stability and error of the variable two-step BDF for semilinear parabolic problems
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- The pricing of options and corporate liabilities
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