Stability of an implicit method to evaluate option prices under local volatility with jumps
type: Item
instance of: scholarly article
title: Stability of an implicit method to evaluate option prices under local volatility with jumps
zbMATH Open document ID: 1300.91052
author: Jaewook Lee
author: Younhee Lee
published in: Applied Numerical Mathematics
publication date: 2014-10-31T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 6362817
zbMATH Keywords: option pricing
zbMATH Keywords: finite difference method
zbMATH Keywords: partial integro-differential equation
zbMATH Keywords: operator splitting method
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: variable coefficient
zbMATH Keywords: jump-diffusion model
MaRDI profile type: Publication
full work available at URL: j.apnum.2014.06.012
OpenAlex ID: W1991212624
cites work: Computational Methods for Option Pricing
cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
cites work: A penalty method for American options with jump diffusion processes
cites work: Robust numerical methods for contingent claims under jump diffusion processes
cites work: Operator splitting methods for American option pricing.
cites work: A Jump-Diffusion Model for Option Pricing
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: Option pricing when underlying stock returns are discontinuous
cites work: Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
DOI: 10.1016/J.APNUM.2014.06.012
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description: scientific article; zbMATH DE number 6362817