Implicit-explicit numerical schemes for jump-diffusion processes
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Cites work
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A penalty method for American options with jump diffusion processes
- Additive Runge-Kutta schemes for convection-diffusion-reaction equations
- An implicit-explicit approach for atmospheric transport-chemistry problems
- Bond Market Structure in the Presence of Marked Point Processes
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Exact solutions for bond and option prices with systematic jump risk
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Financial Modelling with Jump Processes
- High-order splitting methods for the incompressible Navier-Stokes equations
- Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
- Implicit-explicit Runge-Kutta schemes and applications to hyperbolic systems with relaxation
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
- Option Pricing With V. G. Martingale Components1
- Option pricing when underlying stock returns are discontinuous
- Term structure models driven by general Lévy processes
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(54)- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Mathematical model of copper corrosion
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Numerical stability of a hybrid method for pricing options
- European rainbow option values under the two-asset Merton jump-diffusion model
- Multiscale Integration Schemes for Jump-Diffusion Systems
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Necessary optimality conditions for the control of partial integro-differential equations
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- ADI schemes for valuing European options under the Bates model
- Numerical computation of Theta in a jump-diffusion model by integration by parts
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- Numerical methods for Lévy processes
- A PDE approach to jump-diffusions
- Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods
- An RBF-FD method for pricing American options under jump-diffusion models
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- 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
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Splitting methods for Fokker-Planck equations related to jump-diffusion processes
- Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- Efficient solution of a partial integro-differential equation in finance
- Numerical schemes for option pricing in regime-switching jump diffusion models
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- scientific article; zbMATH DE number 6830743 (Why is no real title available?)
- Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
- Parallel option pricing with Fourier space time-stepping method on graphics processing units
- Robust numerical methods for contingent claims under jump diffusion processes
- Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
- Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
- IMEX schemes for pricing options under jump-diffusion models
- IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
- scientific article; zbMATH DE number 5910754 (Why is no real title available?)
- 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
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
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