An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids-Reference-Cited by-同舟云学术

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An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids

Published:2018-06-02 Issue:4 Volume:53 Page:1565-1591
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Chen Yingzi,Wang Wansheng,Xiao Aiguo

Funder

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-018-9823-8.pdf

Reference42 articles.

1. Frontiers in Applied Mathematics;Y Achdou,2005

2. Almendral, A., & Oosterlee, C. W. (2005). Numerical valuation of options with jumps in the underlying. Applied Numerical Mathematics, 53, 1–18.

3. Andersen, L., & Andreasen, J. (2000). Jump-diffusion processes: Volatility smile fitting and numerical methods for option pricing. Review of Derivatives Research, 4(3), 231–262.

4. Bank, R., & Falgout, R. (2015). Algebraic multigrid domain and range decomposition (AMG-DD/AMG-RD). SIAM Journal on Scientific Computing, 5(37), S113–S136.

5. Barles, G., & Soner, H. M. (1998). Option pricing with transaction costs and a nonlinear Black–Scholes equation. Finance and Stochastics, 2(4), 369–397.

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1. Numerical valuation of European and American options under Merton's model;Applicable Analysis;2021-12-20

2. Optimal non-uniform finite difference grids for the Black–Scholes equations;Mathematics and Computers in Simulation;2021-04

3. On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance;SIAM Journal on Numerical Analysis;2019-01

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