Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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convergencenumerical examplesoption pricingviscosity solutionfinancial theorysemilinear strongly degenerate parabolic integro-differential Cauchy problems
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Other nonlinear integral equations (45G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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- A jump-diffusion model for option pricing
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- Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
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- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Option pricing when underlying stock returns are discontinuous
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- The pricing of options and corporate liabilities
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Cited in
(46)- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Convergence analysis of a parabolic nonlinear system arising in biology
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- Numerical stability of a hybrid method for pricing options
- Inflation, central bank and short-term interest rates: a new model with calibration to market data
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
- A model for optimal stopping in advertisement
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- Solving higher-order nonlinear Volterra integro-differential equations using two discretization methods
- Positive finite difference schemes for a partial integro-differential option pricing model
- Numerical solutions of Black-Scholes integro-differential equations with convergence analysis
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Convergence by viscosity methods in multiscale financial models with stochastic volatility
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- Numerical solution of two asset jump diffusion models for option valuation
- Convergence of an exponential Runge-Kutta method for non-smooth initial data
- Fast and efficient numerical methods for an extended Black-Scholes model
- Robust numerical method for space shift 2D singularly perturbed parabolic convection diffusion differential equations
- Method of radial basis functions for solving the partial integro-differential equation of diffusion with nonlocal effects
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- Compact finite difference method for integro-differential equations
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Efficient pricing of swing options in Lévy-driven models
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Implicit-explicit numerical schemes for jump-diffusion processes
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Boundary state feedback control for semilinear fractional-order reaction diffusion systems
- Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs
- An existence result for two-dimensional parabolic integro-differential equations involving CEV model
- Solvability of Sturm-Liouville problems on time scales at resonance
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- Low-dimensional partial integro-differential equations for high-dimensional Asian options
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- Numerical valuation of options with jumps in the underlying
- A penalty method for American options with jump diffusion processes
- Fast numerical valuation of options with jump under Merton's model
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Jump-diffusion modeling in emission markets
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
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