A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
type: Item
instance of: scholarly article
title: A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
zbMATH Open document ID: 1475.91399
author: Xiao-Ting Gan
author: Ying Yang
author: Kun Zhang
published in: Journal of Applied Mathematics and Computing
publication date: 2021-11-29T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M08
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65M32
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 7435245
zbMATH Keywords: Kou's jump-diffusion model
zbMATH Keywords: partial integro-differential complementarity problem
zbMATH Keywords: fitted finite volume method
zbMATH Keywords: penalty method
MaRDI profile type: Publication
full work available at URL: s12190-019-01270-1
OpenAlex ID: W2945727487
cites work: The pricing of options and corporate liabilities
cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
cites work: Option pricing when underlying stock returns are discontinuous
cites work: A Jump-Diffusion Model for Option Pricing
cites work: An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
cites work: A penalty method for American options with jump diffusion processes
cites work: Pricing options under jump diffusion processes with fitted finite volume method
cites work: Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models
cites work: Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
cites work: An iterative method for pricing American options under jump-diffusion models
cites work: A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
cites work: A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
cites work: IMEX schemes for pricing options under jump-diffusion models
cites work: Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
cites work: ADI schemes for valuing European options under the Bates model
cites work: RBF-PU method for pricing options under the jump-diffusion model with local volatility
cites work: An RBF-FD method for pricing American options under jump-diffusion models
cites work: A novel fitted finite volume method for the Black-Scholes equation governing option pricing
cites work: A fitted finite volume method for the valuation of options on assets with stochastic volatilities
cites work: A fitted finite volume method for real option valuation of risks in climate change
cites work: A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
cites work: Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
cites work: Q4597508
Wikidata QID: Q127827868
DOI: 10.1007/S12190-019-01270-1
description: scientific article; zbMATH DE number 7435245