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Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
16 references·11 citing·24 second hop
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Numerical Valuation of European and Ameri…Theory of rational option pricing (2005)Theory of rational option pri…Computational Methods for Option Pricing (2005)Computational Methods for Opt…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (2019)On the Variable Two-Step IMEX…An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (2019)An IMEX‐BDF2 compact scheme f…An RBF–FD method for pricing American options under jump–diffusion models (2018)An RBF–FD method for pricing …A radial basis function based implicit–explicit method for option pricing under jump-diffusion models (2016)A radial basis function based…Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models (2015)Second Order Accurate IMEX Me…IMEX schemes for pricing options under jump–diffusion models (2014)IMEX schemes for pricing opti…Pricing Bermudan Options in Lévy Process Models (2013)Pricing Bermudan Options in L…An Iterative Method for Pricing American Options Under Jump-Diffusion Models (2011)An Iterative Method for Prici…A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (2011)A Second-Order Tridiagonal Me…A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models (2011)A New Spectral Element Method…A Componentwise Splitting Method for Pricing American Options Under the Bates Model (2009)A Componentwise Splitting Met…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Behavior of Stock-Market Prices (1965)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 2005Computational Methods for Option Pricing

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376 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • Cited by

    • 2019On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance97 cited
    • 2011An Iterative Method for Pricing American Options Under Jump-Diffusion Models75 cited
    • 2014IMEX schemes for pricing options under jump–diffusion models71 cited
    • 2011A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models67 cited
    • 2015Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models58 cited
    • 2016A radial basis function based implicit–explicit method for option pricing under jump-diffusion models43 cited
    • 2019An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models38 cited
    • 2018An RBF–FD method for pricing American options under jump–diffusion models34 cited
    • 2009A Componentwise Splitting Method for Pricing American Options Under the Bates Model32 cited
    • 2011A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models32 cited
    • 2013Pricing Bermudan Options in Lévy Process Models31 cited