Pricing options under jump diffusion processes with fitted finite volume method
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference24 articles.
1. Numerical valuation of options with jumps in the underlying;Almendral;Appl. Math. Comput.,2005
2. Jump diffusion option valuation in discrete time;Amin;J. Finance,1993
3. Jump diffusion process: volatility smile fitting and numerical methods for option pricing;Anderson;Rev. Derivat. Res.,2000
4. Convergence of a fitted finite volume method for European and American option valuation;Angermann;Numer. Math.,2007
5. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973
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1. A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump–diffusion models;Engineering Analysis with Boundary Elements;2023-10
2. On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models;Advances in Applied Mathematics and Mechanics;2023-06
3. A reduced-order model based on cubic B-spline basis function and SSP Runge–Kutta procedure to investigate option pricing under jump-diffusion models;Engineering Analysis with Boundary Elements;2023-05
4. Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method;Advances in Applied Mathematics and Mechanics;2020-06
5. A robust numerical method for pricing American options under Kou’s jump-diffusion models based on penalty method;Journal of Applied Mathematics and Computing;2019-05-23
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