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An Iterative Method for Pricing American Options Under Jump-Diffusion Models · Study

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ArticleAn Iterative Method for Pricing American Options Under Jump-Diffusion Models

Santtu Salmi2011

OA

Articlegreen2011

An Iterative Method for Pricing American Options Under Jump-Diffusion Models

Santtu Salmi · Jari Toivanen

75 citations·0/0 files stored·Applied Numerical Mathematics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Matrix Theory and Algorithms

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2002A Jump-Diffusion Model for Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003The Impact of Jumps in Volatility and Returns

Cited by

2014IMEX schemes for pricing options under jump–diffusion models 2019An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models 2012A new radial basis functions method for pricing American options under Merton's jump-diffusion model 2018An RBF–FD method for pricing American options under jump–diffusion models 2011A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models

Details

Year2011

Typearticle

Published2011-01-01

VenueApplied Numerical Mathematics

ISSN-L0168-9274

Languageen

Citations75

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.apnum.2011.02.002

openalex_workW3124053904

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