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On the Numerical Evaluation of Option Prices in Jump Diffusion Processes

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References

1976Option pricing when underlying stock returns are discontinuous5,965 cited
2002A Jump-Diffusion Model for Option Pricing1,895 cited
1998The Variance Gamma Process and Option Pricing1,786 cited
1994Implied Binomial Trees1,749 cited
2000Pricing Financial Instruments: The Finite Difference Method478 cited
2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
1993Jump Diffusion Option Valuation in Discrete Time320 cited
2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
2004A penalty method for American options with jump diffusion processes202 cited
2004Fast deterministic pricing of options on Lévy driven assets144 cited
2005A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion102 cited
2003Application of the Fast Gauss Transform to Option Pricing89 cited

Cited by

2016A radial basis function based implicit–explicit method for option pricing under jump-diffusion models43 cited
2011Jumps Without Tears: A New Splitting Technology for Barrier Options36 cited
2012A new radial basis functions method for pricing American options under Merton's jump-diffusion model

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35 cited

2011Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models34 cited

2013Pricing Options in Jump Diffusion Models Using Mellin Transforms25 cited

2013Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme25 cited

2013NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS24 cited

2014A structural model for credit risk with switching processes and synchronous jumps23 cited

2012Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models23 cited