A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
type: Item
instance of: scholarly article
title: A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
zbMATH Open document ID: 1351.91024
author: Lei Han
author: Wei Li
author: Yan Zhang
author: Miao Han
author: Sheng-Wu Zhou
published in: Computational and Applied Mathematics
publication date: 2015-10-23T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6497581
zbMATH Keywords: option pricing
zbMATH Keywords: jump-diffusion process
zbMATH Keywords: nonstandard scheme
zbMATH Keywords: transaction costs
MaRDI profile type: Publication
full work available at URL: s40314-014-0156-5
OpenAlex ID: W2071257443
cites work: The pricing of options and corporate liabilities
cites work: Q4905685
cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation
cites work: On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
cites work: Option pricing when underlying stock returns are discontinuous
cites work: A Jump-Diffusion Model for Option Pricing
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Numerical solutions for option pricing models including transaction costs and stochastic volatility
cites work: Pricing and hedging derivative securities in markets with uncertain volatilities
cites work: Fast deterministic pricing of options on Lévy driven assets
cites work: Wavelet Galerkin pricing of American options on Lévy driven assets
cites work: Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
cites work: A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
cites work: Smart expansion and fast calibration for jump diffusions
cites work: Adjoint expansions in local Lévy models
cites work: Numerical valuation of options with jumps in the underlying
cites work: An iterative method for pricing American options under jump-diffusion models
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: A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
cites work: Efficient solution of a partial integro-differential equation in finance
cites work: Pricing options under jump diffusion processes with fitted finite volume method
cites work: Q3621206
cites work: A finite difference scheme for pricing American put options under Kou's jump-diffusion model
cites work: A positivity-preserving numerical scheme for nonlinear option pricing models
cites work: An unconditionally positivity preserving scheme for advection-diffusion reaction equations
cites work: A high-order conservative Patankar-type discretisation for stiff systems of production--destruction equations
cites work: Q3670748
cites work: Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
cites work: Q3323133
cites work: A numerical method for European option pricing with transaction costs nonlinear equation
DOI: 10.1007/S40314-014-0156-5
description: scientific article; zbMATH DE number 6497581