Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method

DOI10.1016/j.apnum.2017.01.015zbMath1406.91483arXiv1412.6064OpenAlexW2964266327MaRDI QIDQ512310

Kourosh Parand, Jamal Amani Rad

Publication date: 24 February 2017

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

Full work available at URL: https://arxiv.org/abs/1412.6064

zbMATH Keywords

stochastic volatilityAmerican optionWendland functionsMerton jump diffusionmeshless weak form

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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (8)

Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Numerical approximation of the first-passage time distribution of time-varying diffusion decision models: a mesh-free approach ⋮ 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 ⋮ A modified modulus-based multigrid method for linear complementarity problems arising from free boundary problems ⋮ Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures ⋮ 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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