A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion

DOI10.1016/j.camwa.2015.12.040zbMath1443.91300OpenAlexW2278627864MaRDI QIDQ2006652

Wenguang Tang, Shuhua Chang

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.12.040

zbMATH Keywords

option pricingsemi-Lagrangian methodjump-diffusionpartial integro-differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation ⋮ Numerical solutions of an option pricing rainfall weather derivatives model ⋮ Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation

Cites Work

• The Pricing of Options and Corporate Liabilities
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE
• A penalty method for American options with jump diffusion processes
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
• On modelling and pricing weather derivatives
• Robust numerical methods for contingent claims under jump diffusion processes
• Numerical convergence properties of option pricing PDEs with uncertain volatility
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