Robust numerical methods for contingent claims under jump diffusion processes
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- scientific article; zbMATH DE number 2163268
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Cited in
(only showing first 100 items - show all)- Fast numerical valuation of options with jump under Merton's model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- A radial basis function scheme for option pricing in exponential Lévy models
- Hedging costs for variable annuities under regime-switching
- Discrete-time bond and option pricing for jump-diffusion processes
- Calibration and hedging under jump diffusion
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Option pricing in jump diffusion models with quadratic spline collocation
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- Valuation of stock loans with jump risk
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- Pricing approximations and error estimates for local Lévy-type models with default
- Markov models for commodity futures: theory and practice
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Pricing pension plans under jump-diffusion models for the salary
- Valuing early-exercise interest-rate options with multi-factor affine models
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- Option pricing using the IMEX-AVF method with high jump intensity
- The calibration of volatility for option pricing models with jump diffusion processes
- DG method for pricing European options under Merton jump-diffusion model.
- Numerical approach to asset pricing models with stochastic differential utility
- High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
- European rainbow option values under the two-asset Merton jump-diffusion model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Measuring impact of random jumps without sample path generation
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Wavelet-Galerkin method for second-order integro-differential equations on product domains
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
- Efficient solution of a partial integro-differential equation in finance
- An implicit double discretization method for pricing options under Metron's jump-diffusion model
- ADI schemes for valuing European options under the Bates model
- FFT-network for bivariate Lévy option pricing
- Jump-diffusion productivity models in equilibrium problems with heterogeneous agents
- Sharp error estimate of variable time-step IMEX BDF2 scheme for parabolic integro-differential equations with initial singularity arising in finance
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Multigrid method for pricing European options under the CGMY process
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- Option pricing in some non-Lévy jump models
- An RBF-FD method for pricing American options under jump-diffusion models
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- The effect of modelling parameters on the value of GMWB guarantees
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- An efficient numerical method for pricing option under jump diffusion model
- Numerical solution of two asset jump diffusion models for option valuation
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Technology adoption in a declining market
- Numerical valuation of European and American options under Merton's model
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- An iterative method for pricing American options under jump-diffusion models
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Pricing American options when asset prices jump
- Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Finite volume method for pricing European and American options under jump-diffusion models
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Fast exponential time integration scheme for option pricing with jumps.
- Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
- Approximation of jump diffusions in finance and economics
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Pricing options under jump diffusion processes with fitted finite volume method
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- 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
- An interval version of Black-Scholes European option pricing model and its numerical solution
- LSV models with stochastic interest rates and correlated jumps
- Rational Krylov methods in exponential integrators for European option pricing.
- Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
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