Methods for the rapid solution of the pricing PIDEs in exponential and Merton models

DOI10.1016/J.CAM.2007.10.017zbMath1152.91026OpenAlexW2024511386MaRDI QIDQ952085

Anita Mayo

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.017

zbMATH Keywords

option pricingdifferential equationsjump-diffusion process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model

Cites Work

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• Robust numerical methods for contingent claims under jump diffusion processes
• The Variance Gamma Process and Option Pricing
• Fast deterministic pricing of options on Lévy driven assets
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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