European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
DOI10.3934/dcdss.2020052zbMath1437.91456OpenAlexW2922167423WikidataQ128192819 ScholiaQ128192819MaRDI QIDQ2180342
Ali Akgül, Fazlollah Soleymani
Publication date: 13 May 2020
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2020052
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Tensor Decompositions and Applications
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- A fast numerical method to price American options under the Bates model
- Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- A posteriori error analysis for FEM of American options
- Numerical solution of two asset jump diffusion models for option valuation
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- The Black-Scholes equation in stochastic volatility models
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- High accurate finite differences based on RBF interpolation and its application in solving differential equations
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs
- Sparse radial basis function approximation with spatially variable shape parameters
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Comparison of software for computing the action of the matrix exponential
- Gaussian RBF-FD weights and its corresponding local truncation errors
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
- Tensor Spaces and Numerical Tensor Calculus
- Computing integrals involving the matrix exponential
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Robust numerical methods for contingent claims under jump diffusion processes
- The Time-Discrete Method of Lines for Options and Bonds
- Introduction to Mathematica® with Applications
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Option pricing when underlying stock returns are discontinuous
- Functions of Matrices
- The Mathematica GuideBook for Numerics
- ADI finite difference schemes for option pricing in the Heston model with correlation
This page was built for publication: European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
