An ETD method for multi‐asset American option pricing under jump‐diffusion model

Rafael Company, Lucas Jodar, Vera N. Egorova

Publication date: 5 January 2024

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

zbMATH Keywords

jump-diffusion model exponential time differencing partial-integro differential equation multi-asset option pricing multivariate Gauss-Hermite quadrature

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical solutions to stochastic differential and integral equations (65C30) Free boundary problems for PDEs (35R35) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
The Pricing of Options and Corporate Liabilities
Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
A mixed derivative terms removing method in multi-asset option pricing problems
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
Computing American option price under regime switching with rationality parameter
Exponential time differencing for stiff systems
High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
Numerical solution of two asset jump diffusion models for option valuation
Penalty methods for American options with stochastic volatility
Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
A penalty method for American options with jump diffusion processes
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
Pricing vulnerable options with stochastic volatility
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
High-order computational methods for option valuation under multifactor models
Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
Power penalty method for a linear complementarity problem arising from American option valuation
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Robust numerical methods for contingent claims under jump diffusion processes
Financial Modelling with Jump Processes
A new radial basis functions method for pricing American options under Merton's jump-diffusion model
An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

This page was built for publication: An ETD method for multi‐asset American option pricing under jump‐diffusion model