Option pricing in jump diffusion models with quadratic spline collocation
DOI10.1016/j.amc.2015.12.045zbMath1410.91440OpenAlexW2294370856MaRDI QIDQ671091
Christina C. Christara, Nat Chun-Ho Leung
Publication date: 20 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2015.12.045
collocationAmerican optionpartial integro-differential equationMerton's modelquadratic splinecalculation of GreeksKou's model
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Related Items (6)
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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