High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models

DOI10.4208/nmtma.OA-2019-0119zbMath1463.91160OpenAlexW3011817094MaRDI QIDQ5143951

Jingtang Ma, Zhiqiang Zhou, Zhijun Tan, Han Wang

Publication date: 14 January 2021

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2019-0119

zbMATH Keywords

option pricinghigh-order methodsAsian optionsexotic optionsGreekslookback options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models

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