Methods for the rapid solution of the pricing PIDEs in exponential and Merton models

DOI10.1016/J.CAM.2007.10.017MaRDI QIDQ952085zbMATH OpenOpenAlexFDO

Authors Anita Mayo

Publication date 6 November 2008

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.2007.10.017

zbMATH Keywords

differential equationsoption pricingjump-diffusion process

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 43732 (Why is no real title available?)
• scientific article; zbMATH DE number 44092 (Why is no real title available?)
• scientific article; zbMATH DE number 559089 (Why is no real title available?)
• scientific article; zbMATH DE number 3250158 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• A jump-diffusion model for option pricing
• A penalty method for American options with jump diffusion processes
• Fast deterministic pricing of options on Lévy driven assets
• From local volatility to local Lévy models
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing when underlying stock returns are discontinuous
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Robust numerical methods for contingent claims under jump diffusion processes
• The Variance Gamma Process and Option Pricing

Cited in

(13)

• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
• American-style options in jump-diffusion models: estimation and evaluation
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
• Exponential time integration for fast finite element solutions of some financial engineering problems
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Efficient solution of a partial integro-differential equation in finance
• Fast exponential time integration scheme for option pricing with jumps.
• Jump without tears: a new splitting technology for barrier options
• Numerical solution of two asset jump diffusion models for option valuation
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
• THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS

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