On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
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DOI: 10.1080/13518470701201512
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Cited by:
- Jingtang Ma & Dongya Deng & Harry Zheng, 2016. "Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 593-603, April.
- Olijslagers, Stan & van der Ploeg, Frederick & van Wijnbergen, Sweder, 2023.
"On current and future carbon prices in a risky world,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Stan W.J. Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On Current and Future Carbon Prices in a Risky World," CESifo Working Paper Series 9092, CESifo.
- Stan Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On current and future carbon prices in a risky world," Tinbergen Institute Discussion Papers 21-045/VI, Tinbergen Institute.
- Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020. "Option Pricing in an Investment Risk-Return Setting," Papers 2001.00737, arXiv.org.
- Andrey Itkin & Peter Carr, 2012.
"Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
- Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.
- Kyriakos Georgiou & Athanasios N. Yannacopoulos, 2023. "Probability of Default modelling with L\'evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9," Papers 2309.12384, arXiv.org.
- Christara, Christina C. & Leung, Nat Chun-Ho, 2016. "Option pricing in jump diffusion models with quadratic spline collocation," Applied Mathematics and Computation, Elsevier, vol. 279(C), pages 28-42.
- Hideharu Funahashi & Masaaki Kijima, 2016. "Analytical pricing of single barrier options under local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 867-886, June.
- Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
- Ron Chan & Simon Hubbert, 2014. "Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme," Review of Derivatives Research, Springer, vol. 17(2), pages 161-189, July.
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Keywords
Jump diffusion process; option pricing; differential equations;All these keywords.
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