Implicit-explicit numerical schemes for jump-diffusion processes
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Publication:997571
DOI10.1007/S10092-007-0128-XzbMATH Open1150.65033OpenAlexW2368861806WikidataQ57776978 ScholiaQ57776978MaRDI QIDQ997571FDOQ997571
Maya Briani, Giovanni Russo, Roberto Natalini
Publication date: 7 August 2007
Published in: Calcolo (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10092-007-0128-x
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Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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Cited In (51)
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
- European rainbow option values under the two-asset Merton jump-diffusion model
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- Title not available (Why is that?)
- Efficient solution of a partial integro-differential equation in finance
- Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
- Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations
- ADI schemes for valuing European options under the Bates model
- Parallel option pricing with Fourier space time-stepping method on graphics processing units
- A PDE approach to jump-diffusions
- Exponential time integration for fast finite element solutions of some financial engineering problems
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- Mathematical model of copper corrosion
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Multiscale Integration Schemes for Jump-Diffusion Systems
- NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
- Robust numerical methods for contingent claims under jump diffusion processes
- Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
- Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
- CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
- Diffusive limits of 2D well-balanced schemes for kinetic models of neutron transport
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
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- FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
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- Numerical methods for Lévy processes
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- IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
- IMEX schemes for pricing options under jump-diffusion models
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods
- On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
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