IMEX Third-Order SBDF Scheme for Pricing American Options under Kou’s 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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We propose an iterative method for pricing American options under jumpdiffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration...
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In this paper we develop two novel numerical methods for the partial integral differential equation arising from the valuation of an option whose underlying asset is governed by a jump diffusion process. These methods are based on a fitted finite volume method for the spatial discretization, an implicit-explicit time stepping scheme and the Crank-Nicolson time stepping method. We show that the ...
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ژورنال
عنوان ژورنال: Advances in Applied Mathematics
سال: 2018
ISSN: 2324-7991,2324-8009
DOI: 10.12677/aam.2018.71014