Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
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American optionserror analysisjump-diffusionlinear complementarity problemsoperator splittingstability analysis
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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Cites work
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- A jump-diffusion model for option pricing
- A local radial basis function method for pricing options under the regime switching model
- A new fourth-order numerical scheme for option pricing under the CEV model
- A new operator splitting method for American options under fractional Black-Scholes models
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A quick operator splitting method for option pricing
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- A second-order tridiagonal method for American options under jump-diffusion models
- A spectral element method for option pricing under regime-switching with jumps
- An accurate and stable numerical method for option hedge parameters
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- An iterative method for pricing American options under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- Application of the local radial basis function-based finite difference method for pricing American options
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- Fast deterministic pricing of options on Lévy driven assets
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- scientific article; zbMATH DE number 473351 (Why is no real title available?)
- IMEX schemes for pricing options under jump-diffusion models
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Methods for pricing American options under regime switching
- Numerical approximation of partial differential equations
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Operator splitting methods for American option pricing.
- Operator splitting methods for pricing American options under stochastic volatility
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Option pricing when underlying stock returns are discontinuous
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
Cited in
(3)- Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps
- An inverse problem for calibrating the volatility in time fractional jump-diffusion option pricing model
- An extrapolated implicit-explicit backward difference scheme for utility indifference pricing of European and American options in liquidity-switching markets
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