Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

DOI10.1016/J.CAM.2015.10.027MaRDI QIDQ898993zbMATH OpenOpenAlexFDO

Authors M. Fakharany, R. Company, L. Jódar

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.10.027

zbMATH Keywords

option pricingnumerical analysispositivitypartial integro-differential equationGauss-Laguerre quadrature

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(17)

• scientific article; zbMATH DE number 5714028 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• Numerical analysis of novel finite difference methods
• On finite difference schemes for partial integro-differential equations of Lévy type
• Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
• Isogeometric analysis in option pricing
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• A finite difference method for pricing European and American options under a geometric Lévy process
• Accurate Evaluation of European and American Options Under the CGMY Process
• 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
• Variational solutions of the pricing PIDEs for European options in Lévy models
• Pricing approximations and error estimates for local Lévy-type models with default

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