Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation

DOI10.1016/J.MATCOM.2023.10.025MaRDI QIDQ6129393zbMATH OpenOpenAlexFDO

Authors Vikas Maurya, Ankit Singh, Vivek S. Yadav, Manoj K. Rajpoot

Publication date 17 April 2024

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2023.10.025

zbMATH Keywords

European and American option pricingimplicit-explicit numerical methodslinear complementarity problemMerton's and Kou's modelspartial integro-differential equationstability analysis

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• Numerical study for European option pricing equations with non-Levy jumps
• Pricing options under jump diffusion processes with fitted finite volume method
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Finite volume method for pricing European and American options under jump-diffusion models
• An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models

Cited in

(10)

• Binomial tree method for option pricing: discrete cosine transform approach
• Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
• A hybrid Crank-Nicolson and Morgan-Voyce collocation method for option pricing pides
• Implicit-explicit method for pricing American options under Merton and Kou jump diffusion models
• Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
• Option pricing using the IMEX-AVF method with high jump intensity
• Carbon option pricing based on uncertain fractional differential equation: a binomial tree approach
• A new integrated conditional positive definite Gaussian kernel with application in the solution of the Bates jump-diffusion model
• Comparison of stochastic and deterministic methods for calculate the option price

This page was built for publication: Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6129393)