Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models

DOI10.4208/eajam.280313.061013azbMath1292.91186OpenAlexW2331253163MaRDI QIDQ5417790

Hong-Kui Pang, Hai-Wei Sun

Publication date: 22 May 2014

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/29cf743f40d9246b2ba0e8e2feafe52b102addf8

zbMATH Keywords

multigrid methodmatrix splittingmatrix exponentialEuropean optionbarrier optionpartial integro-differential equationshift-invert Arnoldistochastic volatility jump diffusion

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) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Initial value problems for second-order parabolic equations (35K15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

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Uses Software

• quadgk

Cites Work

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