Option pricing in jump diffusion models with quadratic spline collocation

DOI10.1016/j.amc.2015.12.045zbMath1410.91440OpenAlexW2294370856MaRDI QIDQ671091

Christina C. Christara, Nat Chun-Ho Leung

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.12.045

zbMATH Keywords

collocationAmerican optionpartial integro-differential equationMerton's modelquadratic splinecalculation of GreeksKou's model

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (6)

Isogeometric analysis in option pricing ⋮ Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Discrete septic spline quasi-interpolants for solving generalized Fredholm integral equation of the second kind via three degenerate kernel methods ⋮ A robust spline collocation method for pricing American put options

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
• A penalty method for American options with jump diffusion processes
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Fourier space time-stepping for option pricing with Lévy models
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Robust numerical methods for contingent claims under jump diffusion processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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