Stability of an implicit method to evaluate option prices under local volatility with jumps

DOI10.1016/j.apnum.2014.06.012zbMath1300.91052OpenAlexW1991212624MaRDI QIDQ465116

Younhee Lee, Jaewook Lee

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2014.06.012

zbMATH Keywords

finite difference methodoption pricinglinear complementarity problemjump-diffusion modelvariable coefficientpartial integro-differential equationoperator splitting method

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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Estimation and prediction under local volatility jump-diffusion model ⋮ High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Operator splitting methods for American option pricing.
• A penalty method for American options with jump diffusion processes
• A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• Robust numerical methods for contingent claims under jump diffusion processes
• Computational Methods for Option Pricing
• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
• Option pricing when underlying stock returns are discontinuous