Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations

DOI10.1063/5.0072500zbMATH Open1548.91128MaRDI QIDQ6561203

Fengyan Wu, Gangnan Yuan, Jinqiao Duan, Weiguo Lu, Deng Ding

Publication date: 24 June 2024

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The pricing of options and corporate liabilities
• High order schemes for the tempered fractional diffusion equations
• Tempered fractional calculus
• Option pricing for pure jump processes with Markov switching compensators
• Fractional quantum mechanics and Lévy path integrals
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Long time numerical behaviors of fractional pantograph equations
• Fractional Schrödinger dynamics and decoherence
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• Pointwise error estimate in difference setting for the two-dimensional nonlinear fractional complex Ginzburg-Landau equation
• A novel numerical scheme for a time fractional Black-Scholes equation
• Runge-Kutta convolution quadrature methods with convergence and stability analysis for nonlinear singular fractional integro-differential equations
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Effects of Lévy noise on the Fitzhugh-Nagumo model: a perspective on the maximal likely trajectories
• Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
• Dynamics of the chain of forced oscillators with long-range interaction: From synchronization to chaos
• Valuation of American options under the CGMY model
• Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
• Mathematical Modeling and Computation in Finance
• Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution
• Discrete opinion dynamics with \(M\) choices

Related Items (2)

Boundedness and stability of nonlinear hybrid neutral stochastic delay differential equation with Lévy jumps under different structures ⋮ An optimal control method to compute the most likely transition path for stochastic dynamical systems with jumps

This page was built for publication: Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6561203)