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Adaptive finite differences and IMEX time-stepping to price options under Bates model
16 references·0 citing·28 second hop
Adaptive finite differences and IMEX time-stepping to price options under Bates model (2015)Adaptive finite differences and IMEX time…ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation (2010)ADI Finite Difference Schemes…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…Robust numerical methods for contingent claims under jump diffusion processes (2004)Robust numerical methods for …Operator splitting methods for American option pricing (2004)Operator splitting methods fo…A penalty method for American options with jump diffusion processes (2004)A penalty method for American…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…Multigrid for American option pricing with stochastic volatility (1999)Multigrid for American option…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …Robust numerical methods for PDE models of Asian options (1997)Robust numerical methods for …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…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…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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)“Options, Futures, and Other Derivatives” (2016)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)Option valuation using the fast Fourier transform (1999)Financial Modelling with Jump Processes (2003)Integro-differential equations for option prices in exponential Lévy models (2005)Stochastic Integration and Differential Equations (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (2014)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Option pricing: A simplified approach (1979)
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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
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 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 Pricing376 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
  • 1997Robust numerical methods for PDE models of Asian options217 cited
  • 1999Multigrid for American option pricing with stochastic volatility208 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
  • 2004Operator splitting methods for American option pricing

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192 cited
  • 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
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