Pricing European options under stochastic looping contagion risk model

DOI10.1007/s13160-023-00622-6OpenAlexW4387779015MaRDI QIDQ6179935

Yong Chen, Taoshun He

Publication date: 18 January 2024

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-023-00622-6

zbMATH Keywords

option pricingalternating direction implicit methodpartial differential equations (PDEs)default intensity processlooping contagion risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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