Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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Cites work
- scientific article; zbMATH DE number 3854294 (Why is no real title available?)
- scientific article; zbMATH DE number 3825358 (Why is no real title available?)
- scientific article; zbMATH DE number 3903920 (Why is no real title available?)
- scientific article; zbMATH DE number 3921884 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 884971 (Why is no real title available?)
- 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 high-order conservative Patankar-type discretisation for stiff systems of production--destruction equations
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- Accurate Evaluation of European and American Options Under the CGMY Process
- An iterative method for pricing American options under jump-diffusion models
- An unconditionally positivity preserving scheme for advection-diffusion reaction equations
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Far field boundary conditions for Black-Scholes equations
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- Option Pricing With V. G. Martingale Components1
- Option pricing when underlying stock returns are discontinuous
- PDE and martingale methods in option pricing.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- The Generalized Integro-Exponential Function
- The Variance Gamma Process and Option Pricing
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
Cited in
(3)- Numerical solution of systems of partial integral differential equations with application to pricing options
- Positive finite difference schemes for a partial integro-differential option pricing model
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
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