Pricing American options under jump-diffusion models using local weak form meshless techniques

DOI10.1080/00207160.2016.1227434zbMath1367.91197OpenAlexW2507251664MaRDI QIDQ4976348

Kourosh Parand, Jamal Amani Rad

Publication date: 28 July 2017

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1227434

zbMATH Keywords

stability analysisoption pricingRichardson extrapolationAmerican optionLBIEMLSmeshless weak formLRPILPGMerton and Kou jump-diffusion models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Free boundary problems for PDEs (35R35)

Related Items (6)

An RBF-FD method for pricing American options under jump-diffusion models ⋮ An efficient numerical method for solving nonlinear Thomas-Fermi equation ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ Mean-square stability of stochastic system with Markov jump and Lévy noise via adaptive control ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

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