Related references
Note: Only part of the references are listed.Operator splitting schemes for the two-asset Merton jump-diffusion model
Lynn Boen et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2021)
Efficient computation of bifurcation diagrams with a deflated approach to reduced basis spectral element method
Moreno Pintore et al.
ADVANCES IN COMPUTATIONAL MATHEMATICS (2021)
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
Lynn Boen et al.
APPLIED NUMERICAL MATHEMATICS (2020)
ON ENERGY STABLE, MAXIMUM-PRINCIPLE PRESERVING, SECOND-ORDER BDF SCHEME WITH VARIABLE STEPS FOR THE ALLEN-CAHN EQUATION
Hong-lin Liao et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2020)
An IMEX-BDF2 compact scheme for pricing options under regime-switching jump-diffusion models
Yingzi Chen et al.
MATHEMATICAL METHODS IN THE APPLIED SCIENCES (2019)
A SECOND ORDER BDF NUMERICAL SCHEME WITH VARIABLE STEPS FOR THE CAHN-HILLIARD EQUATION
Wenbin Chen et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2019)
ON THE VARIABLE TWO-STEP IMEX BDF METHOD FOR PARABOLIC INTEGRO-DIFFERENTIAL EQUATIONS WITH NONSMOOTH INITIAL DATA ARISING IN FINANCE
Wansheng Wang et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2019)
ADI schemes for valuing European options under the Bates model
Karel J. in 't Hout et al.
APPLIED NUMERICAL MATHEMATICS (2018)
ANALYSIS OF QUANTIZATION ERROR IN FINANCIAL PRICING VIA FINITE DIFFERENCE METHODS
Christina C. Christara et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2018)
Fast numerical valuation of options with jump under Merton's model
Wansheng Wang et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2017)
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
Mohan K. Kadalbajoo et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2017)
Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
Jamal Amani Rad et al.
APPLIED NUMERICAL MATHEMATICS (2017)
Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
B. Gaviraghi et al.
APPLIED MATHEMATICS AND COMPUTATION (2017)
A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
Mohan K. Kadalbajoo et al.
APPLIED NUMERICAL MATHEMATICS (2016)
Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models
Mohan K. Kadalbajoo et al.
JOURNAL OF SCIENTIFIC COMPUTING (2015)
An efficient numerical method for pricing option under jump diffusion model
Mohan K. Kadalbajoo et al.
INTERNATIONAL JOURNAL OF ADVANCES IN ENGINEERING SCIENCES AND APPLIED MATHEMATICS (2015)
IMEX schemes for pricing options under jump-diffusion models
Santtu Salmi et al.
APPLIED NUMERICAL MATHEMATICS (2014)
Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition
K. J. in 't Hout et al.
IMA JOURNAL OF NUMERICAL ANALYSIS (2014)
Robust spectral method for numerical valuation of european options under Merton's jump-diffusion model
E. Pindza et al.
NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS (2014)
AN IMEX-SCHEME FOR PRICING OPTIONS UNDER STOCHASTIC VOLATILITY MODELS WITH JUMPS
Santtu Salmi et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2014)
Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model
Spike T. Lee et al.
NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS (2012)
An iterative method for pricing American options under jump-diffusion models
Santtu Salmi et al.
APPLIED NUMERICAL MATHEMATICS (2011)
SECOND-ORDER FINITE DIFFERENCE METHOD FOR OPTION PRICING UNDER JUMP-DIFFUSION MODELS
Yonghoon Kwon et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2011)
A SECOND-ORDER TRIDIAGONAL METHOD FOR AMERICAN OPTIONS UNDER JUMP-DIFFUSION MODELS
Yonghoon Kwon et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2011)
Pricing options in jump-diffusion models: An extrapolation approach
Liming Feng et al.
OPERATIONS RESEARCH (2008)
Numerical valuation of European and American options under Kou's jump-diffusion model
Jari Toivanen
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2008)
Implicit-explicit numerical schemes for jump-diffusion processes
Maya Briani et al.
CALCOLO (2007)
Numerical valuation of options with jumps in the underlying
A Almendral et al.
APPLIED NUMERICAL MATHEMATICS (2005)
Robust numerical methods for contingent claims under jump diffusion processes
Y D'Halluin et al.
IMA JOURNAL OF NUMERICAL ANALYSIS (2005)
A finite difference scheme for option pricing in jump diffusion and exponential Levy models
R Cont et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2005)
A penalty method for American options with jump diffusion processes
Y d'Halluin et al.
NUMERISCHE MATHEMATIK (2004)
Fast deterministic pricing of options on Levy driven assets
AM Matache et al.
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE (2004)
Quadratic convergence for valuing American options using a penalty method
PA Forsyth et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2002)
Backward stochastic differential equations and Feynman-Kac formula for Levy processes, with applications in finance
D Nualart et al.
BERNOULLI (2001)
Share Paper
