Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation

DOI10.1016/j.matcom.2023.10.025OpenAlexW4388208989MaRDI QIDQ6129393

Manoj K. Rajpoot, Vikas Maurya, Vivek S. Yadav, Ankit Singh

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2023.10.025

zbMATH Keywords

stability analysislinear complementarity problempartial integro-differential equationMerton's and Kou's modelsimplicit-explicit numerical methodsEuropean and American option pricing

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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