A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method

DOI10.1007/s12190-019-01270-1zbMath1475.91399OpenAlexW2945727487WikidataQ127827868 ScholiaQ127827868MaRDI QIDQ2053265

Ying Yang, Xiao-Ting Gan, Kun Zhang

Publication date: 29 November 2021

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-019-01270-1

zbMATH Keywords

penalty methodfitted finite volume methodpartial integro-differential complementarity problemKou's jump-diffusion model

Mathematics Subject Classification ID

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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (5)

A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ Perpetual cancellable American options with convertible features ⋮ Numerical valuation of European and American options under Merton's model ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions

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