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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

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References

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2015Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models58 cited
2014Financial options pricing with regime-switching jump-diffusions47 cited
2018Generative Bayesian neural network model for risk-neutral pricing of American index options

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44 cited

2016A radial basis function based implicit–explicit method for option pricing under jump-diffusion models43 cited

2018An RBF–FD method for pricing American options under jump–diffusion models34 cited

2022American options pricing under regime-switching jump-diffusion models with meshfree finite point method30 cited

2019On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation29 cited

2017Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method27 cited