Option Pricing in Some Non-Lévy Jump Models

DOI10.1137/15M1048926zbMath1345.60096OpenAlexW3121267792MaRDI QIDQ5739799

Lingfei Li, Gongqiu Zhang

Publication date: 20 July 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1048926

zbMATH Keywords

option pricingjump processesfinite difference approximationtime changesubordinate diffusionsmatrix eigendecomposition

Mathematics Subject Classification ID

Related Items (12)

A general framework for time-changed Markov processes and applications ⋮ Pure jump models for pricing and hedging VIX derivatives ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ A general approach for lookback option pricing under Markov models ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Equivalent measure changes for subordinate diffusions ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients ⋮ Markov chain approximation of one-dimensional sticky diffusions

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