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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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Cited by:

  1. Parsiad Azimzadeh & Peter A. Forsyth, 2015. "Weakly chained matrices, policy iteration, and impulse control," Papers 1510.03928, arXiv.org, revised Sep 2017.
  2. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
  3. 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.
  4. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
  5. Leila Khodayari & Mojtaba Ranjbar, 2017. "A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 189-205, August.
  6. Cetin, Umut, 2019. "Linear inverse problems for Markov processes and their regularisation," LSE Research Online Documents on Economics 102633, London School of Economics and Political Science, LSE Library.
  7. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models," Finance and Stochastics, Springer, vol. 25(4), pages 615-657, October.
  8. Hagspiel, Verena & Huisman, Kuno J.M. & Kort, Peter M. & Lavrutich, Maria N. & Nunes, Cláudia & Pimentel, Rita, 2020. "Technology adoption in a declining market," European Journal of Operational Research, Elsevier, vol. 285(1), pages 380-392.
  9. Kuldip Singh Patel & Mani Mehra, 2018. "Fourth-Order Compact Scheme For Option Pricing Under The Merton’S And Kou’S Jump-Diffusion Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-26, June.
  10. Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
  11. Moustapha Pemy, 2018. "Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\'evy Models," Papers 1806.06105, arXiv.org.
  12. Chen, Yu-Fu & Funke, Michael, 2012. "Global Warming and Fat Tailed-uncertainty: Rethinking the Timing and Intensity of Climate Policy," SIRE Discussion Papers 2012-41, Scottish Institute for Research in Economics (SIRE).
  13. Wu, Shulin, 2017. "An efficient parareal algorithm for a class of time-dependent problems with fractional Laplacian," Applied Mathematics and Computation, Elsevier, vol. 307(C), pages 329-341.
  14. Ehsan Hajizadeh & Masoud Mahootchi, 2019. "Developing a Risk-Based Approach for American Basket Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1593-1612, April.
  15. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.
  16. Rama Cont & Nicolas Lantos & Olivier Pironneau, 2011. "A reduced basis for option pricing," Post-Print hal-00522410, HAL.
  17. Oleg Kudryavtsev, 2024. "A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes," Computational Management Science, Springer, vol. 21(1), pages 1-30, June.
  18. Song-Ping Zhu & Xin-Jiang He, 2018. "A hybrid computational approach for option pricing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
  19. Zhang, Le & Schmidt, Wolfgang M., 2016. "An approximation of small-time probability density functions in a general jump diffusion model," Applied Mathematics and Computation, Elsevier, vol. 273(C), pages 741-758.
  20. E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September.
  21. Maximilian Ga{ss} & Kathrin Glau, 2016. "A Flexible Galerkin Scheme for Option Pricing in L\'evy Models," Papers 1603.08216, arXiv.org.
  22. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
  23. Ron Tat Lung Chan, 2016. "Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 623-643, April.
  24. Pedro Febrer & João Guerra, 2021. "Residue Sum Formula for Pricing Options under the Variance Gamma Model," Mathematics, MDPI, vol. 9(10), pages 1-29, May.
  25. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  26. Sudip Ratan Chandra & Diganta Mukherjee, 2016. "Barrier Option Under Lévy Model : A PIDE and Mellin Transform Approach," Mathematics, MDPI, vol. 4(1), pages 1-18, January.
  27. Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
  28. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
  29. Kuldip Singh Patel & Mani Mehra, 2018. "Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models," Papers 1804.07534, arXiv.org.
  30. Hyun Jin Jang & Zuo Quan Xu & Harry Zheng, 2020. "Optimal Investment, Heterogeneous Consumption and Best Time for Retirement," Papers 2008.00392, arXiv.org, revised Jun 2022.
  31. Martin Kegnenlezom & Patrice Takam Soh & Antoine-Marie Bogso & Yves Emvudu Wono, 2019. "European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle," Papers 1906.10888, arXiv.org.
  32. Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009. "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 531-562, September.
  33. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
  34. Dareiotis, Konstantinos & Leahy, James-Michael, 2016. "Finite difference schemes for linear stochastic integro-differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3202-3234.
  35. Kathrin Glau, 2016. "A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates," Finance and Stochastics, Springer, vol. 20(4), pages 1021-1059, October.
  36. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
  37. Jakub Drahokoupil, 2020. "Variance Gamma process in the option pricing model," FFA Working Papers 3.002, Prague University of Economics and Business, revised 31 Jan 2021.
  38. Vinicius Albani & Jorge Zubelli, 2018. "A Splitting Strategy for the Calibration of Jump-Diffusion Models," Papers 1811.02028, arXiv.org.
  39. Jean-Philippe Aguilar, 2019. "The value of power-related options under spectrally negative L\'evy processes," Papers 1910.07971, arXiv.org, revised Jan 2021.
  40. Shirzadi, Mohammad & Rostami, Mohammadreza & Dehghan, Mehdi & Li, Xiaolin, 2023. "American options pricing under regime-switching jump-diffusion models with meshfree finite point method," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
  41. Xun Li & Ping Lin & Xue-Cheng Tai & Jinghui Zhou, 2015. "Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method," Papers 1511.04950, arXiv.org.
  42. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  43. Kuldip Singh Patel & Mani Mehra, 2018. "Compact finite difference method for pricing European and American options under jump-diffusion models," Papers 1804.09043, arXiv.org.
  44. Nicola Cantarutti & Jo~ao Guerra & Manuel Guerra & Maria do Ros'ario Grossinho, 2016. "Option pricing in exponential L\'evy models with transaction costs," Papers 1611.00389, arXiv.org, revised Nov 2019.
  45. Vinicius V. L. Albani & Jorge P. Zubelli, 2020. "A splitting strategy for the calibration of jump-diffusion models," Finance and Stochastics, Springer, vol. 24(3), pages 677-722, July.
  46. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
  47. Edie Miglio & Carlo Sgarra, 2008. "A Finite Element Framework for Option Pricing with the Bates Model," Papers 0812.3083, arXiv.org.
  48. N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
  49. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, July.
  50. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2019. "Numerical Stability Of A Hybrid Method For Pricing Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-46, November.
  51. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\'evy models," Papers 2101.11897, arXiv.org, revised Jul 2021.
  52. Reem Abdullah Aljedhi & Adem Kılıçman, 2020. "Fractional Partial Differential Equations Associated with L ê vy Stable Process," Mathematics, MDPI, vol. 8(4), pages 1-7, April.
  53. Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
  54. Johan Auster & Ludovic Mathys & Fabio Maeder, 2021. "JDOI Variance Reduction Method and the Pricing of American-Style Options," Papers 2104.01365, arXiv.org, revised May 2021.
  55. Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
  56. Jang, H. & Lee, J., 2019. "Machine learning versus econometric jump models in predictability and domain adaptability of index options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 74-86.
  57. Yingzi Chen & Wansheng Wang & Aiguo Xiao, 2019. "An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1565-1591, April.
  58. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
  59. Nicola Cantarutti & Jo~ao Guerra, 2016. "Multinomial method for option pricing under Variance Gamma," Papers 1701.00112, arXiv.org, revised Feb 2018.
  60. Fouladi, Somayeh & Dahaghin, Mohammad Shafi, 2022. "Numerical investigation of the variable-order fractional Sobolev equation with non-singular Mittag–Leffler kernel by finite difference and local discontinuous Galerkin methods," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
  61. Yuanda Chen & Zailei Cheng & Haixu Wang, 2023. "Option Pricing for the Variance Gamma Model: A New Perspective," Papers 2306.10659, arXiv.org.
  62. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
  63. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
  64. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
  65. Ludovic Gouden`ege & Andrea Molent & Xiao Wei & Antonino Zanette, 2024. "Enhancing Valuation of Variable Annuities in L\'evy Models with Stochastic Interest Rate," Papers 2404.07658, arXiv.org.
  66. Karel in 't Hout & Pieter Lamotte, 2022. "Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model," Papers 2207.10060, arXiv.org, revised May 2023.
  67. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
  68. Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 327-344, December.
  69. Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
  70. Sheereen Fauzel, 2016. "A Generalized Autoregressive Conditional Heteroscedastic Approach for the Assessment of Weak-form-efficiency and Seasonality Effect: Evidence from Mauritius," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 745-755.
  71. Yang, Yi & Huang, Jin & Wang, Yifei & Deng, Ting & Li, Hu, 2023. "Fast Q1 finite element for two-dimensional integral fractional Laplacian," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  72. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.
  73. Chenkuan Li & Changpin Li & Thomas Humphries & Hunter Plowman, 2019. "Remarks on the Generalized Fractional Laplacian Operator," Mathematics, MDPI, vol. 7(4), pages 1-17, March.
  74. Liming Feng & Vadim Linetsky, 2008. "Pricing Options in Jump-Diffusion Models: An Extrapolation Approach," Operations Research, INFORMS, vol. 56(2), pages 304-325, April.
  75. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2016. "Numerical stability of a hybrid method for pricing options," Papers 1603.07225, arXiv.org, revised Dec 2019.
  76. Rudiger Frey & Verena Kock, 2021. "Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics," Papers 2109.11403, arXiv.org, revised Sep 2021.
  77. 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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