A Componentwise Splitting Method for Pricing American Options Under the Bates Model

DOI10.1007/978-90-481-3239-3_16zbMath1201.91207OpenAlexW4224010MaRDI QIDQ5189607

Jari Toivanen

Publication date: 17 March 2010

Published in: Computational Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-90-481-3239-3_16

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) Integro-differential operators (47G20)

Related Items (14)

An improved method for pricing and hedging long dated American options ⋮ An efficient method for solving spread option pricing problem: numerical analysis and computing ⋮ Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature ⋮ The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach ⋮ A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ A finite element discretization method for option pricing with the Bates model ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method ⋮ ADI schemes for valuing European options under the Bates model ⋮ A fast numerical method to price American options under the Bates model ⋮ Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ LSV models with stochastic interest rates and correlated jumps ⋮ A quick operator splitting method for option pricing

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