Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
DOI10.1016/J.CAM.2007.10.017zbMATH Open1152.91026OpenAlexW2024511386MaRDI QIDQ952085FDOQ952085
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
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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)
Cites Work
- A jump-diffusion model for option pricing
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Title not available (Why is that?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- A penalty method for American options with jump diffusion processes
- Robust numerical methods for contingent claims under jump diffusion processes
- Fast deterministic pricing of options on Lévy driven assets
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- Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
- From local volatility to local Lévy models
Cited In (13)
- Efficient solution of a partial integro-differential equation in finance
- Jump without tears: a new splitting technology for barrier options
- Exponential time integration for fast finite element solutions of some financial engineering problems
- 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
- 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
- THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
- 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.
- 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
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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