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Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model
16 references·2 citing·32 second hop
Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model (2011)Fourth‐order compact scheme with local me…Tools for Computational Finance (2012)Tools for Computational Finan…Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Pricing Options in Jump-Diffu…Numerical pricing of options using high-order compact finite difference schemes (2007)Numerical pricing of options …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 …Numerical valuation of options with jumps in the underlying (2004)Numerical valuation of option…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…Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Numerical Analysis of America…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…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…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (2021)An efficient variable step-si…Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models (2017)Fourth-Order Compact Finite D…Theory of Rational Option Pricing (1973)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Option pricing: A simplified approach (1979)Closing the GARCH gap: Continuous time GARCH modeling (1996)A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities (1997)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)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)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
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  • 1976Option pricing when underlying stock returns are discontinuous5,965 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
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  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
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  • 2004Numerical valuation of options with jumps in the underlying162 cited
  • 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model

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101 cited
  • 2007Numerical pricing of options using high-order compact finite difference schemes86 cited
  • Cited by

    • 2017Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models24 cited
    • 2021An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function22 cited