An efficient and accurate lattice for pricing derivatives under a jump-diffusion process

DOI10.1016/J.AMC.2010.08.050MaRDI QIDQ613244zbMATH OpenOpenAlexFDO

Authors Tian-Shyr Dai, Chuan-Ju Wang, Yuh-Dauh Lyuu, Yen-Chun Liu

Publication date 20 December 2010

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://ntur.lib.ntu.edu.tw/bitstream/246246/219656/1/02.pdf

zbMATH Keywords

option pricingcomplexitynumerical methodjump-diffusion processlattice construction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 1445392 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
• Adaptive placement method on pricing arithmetic average options
• An efficient convergent lattice algorithm for European Asian options
• An exact subexponential-time lattice algorithm for Asian options
• Approximate option pricing
• Financial engineering and computation. Principles, mathematics, algorithms
• Linear-time option pricing algorithms by combinatorics
• Martingales and stochastic integrals in the theory of continuous trading
• On accurate and provably efficient GARCH option pricing algorithms
• On the rate of convergence of discrete-time contingent claims.
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• THE GARCH OPTION PRICING MODEL
• The Valuation of Path Dependent Contracts on the Average
• The pricing of options and corporate liabilities

Cited in

(4)

• A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
• A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
• Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
• Chapman-Kolmogorov lattice method for derivatives pricing

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