Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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Publication:941609
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Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
- A penalty method for American options with jump diffusion processes
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Derivative securities and difference methods.
- Efficient approximation of the exponential operator for discrete 2D advection–diffusion problems
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Numerical pricing of options using high-order compact finite difference schemes
- Numerical valuation of options with jumps in the underlying
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Option pricing when underlying stock returns are discontinuous
- Robust numerical methods for contingent claims under jump diffusion processes
- Spectral Methods in MATLAB
- The pricing of options and corporate liabilities
Cited in
(29)- High-order time stepping scheme for pricing American option under bates model
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Numerical solutions of the time‐dependent Schrödinger equation with position‐dependent effective mass
- A high-order finite difference method for option valuation
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- A spectral element method for option pricing under regime-switching with jumps
- Convergence of an exponential Runge-Kutta method for non-smooth initial data
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- On the acceleration of explicit finite difference methods for option pricing
- An inexact shift-and-invert Arnoldi algorithm for Toeplitz matrix exponential.
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Fast exponential time integration scheme for option pricing with jumps.
- A positivity-preserving numerical scheme for nonlinear option pricing models
- Rational Krylov methods in exponential integrators for European option pricing.
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential.
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- A shifted block FOM algorithm with deflated restarting for matrix exponential computations
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- A Laplace transform approach for pricing European options
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A fast numerical method to price American options under the Bates model
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