Fast numerical valuation of options with jump under Merton's model
type: Item
instance of: scholarly article
title: Fast numerical valuation of options with jump under Merton's model
zbMATH Open document ID: 1355.91083
author: Yingzi Chen
author: Wansheng Wang
published in: Journal of Computational and Applied Mathematics
publication date: 2017-02-09T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M55
Mathematics Subject Classification ID: 65L60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6682617
zbMATH Keywords: European option pricing
zbMATH Keywords: American option pricing
zbMATH Keywords: Merton's jump-diffusion model
zbMATH Keywords: finite difference methods
zbMATH Keywords: discontinuous Galerkin finite element methods
zbMATH Keywords: multigrid methods
MaRDI profile type: Publication
full work available at URL: j.cam.2016.11.038
OpenAlex ID: W2558203600
cites work: The pricing of options and corporate liabilities
cites work: Q4905685
cites work: Uncertain volatility and the risk-free synthesis of derivatives
cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation
cites work: Q4550916
cites work: Option pricing when underlying stock returns are discontinuous
cites work: A Jump-Diffusion Model for Option Pricing
cites work: Financial Modelling with Jump Processes
cites work: On the numerical solution of nonlinear option pricing equation in illiquid markets
cites work: Computational Methods for Option Pricing
cites work: Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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: Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
cites work: Robust numerical methods for contingent claims under jump diffusion processes
cites work: Numerical valuation of options with jumps in the underlying
cites work: A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy 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: The Analysis of Multigrid Algorithms with Nonnested Spaces or Noninherited Quadratic Forms
cites work: Q4716273
cites work: Fast deterministic pricing of options on Lévy driven assets
cites work: \(hp\)-discontinuous Galerkin time stepping for parabolic problems
cites work: Q4109239
DOI: 10.1016/J.CAM.2016.11.038
description: scientific article; zbMATH DE number 6682617