A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process

DOI10.1007/s40314-014-0156-5zbMath1351.91024OpenAlexW2071257443MaRDI QIDQ747194

Yan Zhang, Wei Li, Miao Han, Lei Han, Sheng-Wu Zhou

Publication date: 23 October 2015

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

Full work available at URL: https://doi.org/10.1007/s40314-014-0156-5

zbMATH Keywords

option pricingtransaction costsjump-diffusion processnonstandard scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Analysis of the nonlinear option pricing model under variable transaction costs ⋮ CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ A constructive method for convex solutions of a class of nonlinear Black-Scholes equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• An iterative method for pricing American options under jump-diffusion models
• Pricing options under jump diffusion processes with fitted finite volume method
• Efficient solution of a partial integro-differential equation in finance
• Smart expansion and fast calibration for jump diffusions
• A numerical method for European option pricing with transaction costs nonlinear equation
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• A high-order conservative Patankar-type discretisation for stiff systems of production--destruction equations
• Numerical valuation of options with jumps in the underlying
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• A positivity-preserving numerical scheme for nonlinear option pricing models
• An unconditionally positivity preserving scheme for advection-diffusion reaction equations
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Adjoint Expansions in Local Lévy Models
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Fast deterministic pricing of options on Lévy driven assets
• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
• Option pricing when underlying stock returns are discontinuous
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

This page was built for publication: A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process