NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS

DOI10.1142/S0219024919500365zbMath1430.91129arXiv1603.07225WikidataQ127284038 ScholiaQ127284038MaRDI QIDQ5207491

Antonino Zanette, Maya Briani, Lucia Caramellino, Giulia Terenzi

Publication date: 2 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.07225

zbMATH Keywords

stochastic volatilityfinite-differencenumerical stabilityjump-diffusion processtree methodsEuropean and American options

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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Foreign exchange options on Heston-CIR model under Lévy process framework, Computing credit valuation adjustment solving coupled PIDEs in the Bates model, Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model

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