A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
نویسندگان
چکیده
منابع مشابه
Reduced order models for pricing European and American options under stochastic volatility and jump-diffusion models
European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order model...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2011
ISSN: 1064-8275,1095-7197
DOI: 10.1137/100806552