SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
16 references·0 citing·29 second hop
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (2021)An efficient variable step-size method fo…A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models (2011)A Second-order Finite Differe…Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Numerical Valuation of Europe…Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Pricing Options in Jump-Diffu…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 …Numerical valuation of options with jumps in the underlying (2004)Numerical valuation of option…Fast deterministic pricing of options on Lévy driven assets (2004)Fast deterministic pricing of…A penalty method for American options with jump diffusion processes (2004)A penalty method for American…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…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…Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Backward Stochastic Different…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…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Integro-differential equations for option prices in exponential Lévy models (2005)“Options, Futures, and Other Derivatives” (2016)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Option valuation using the fast Fourier transform (1999)Stochastic Integration and Differential Equations (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)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)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)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)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)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 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
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
  • 2001Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance169 cited
  • 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach168 cited
  • 2004Numerical valuation of options with jumps in the underlying162 cited
  • 2004Fast deterministic pricing of options on Lévy driven assets144 cited
  • 2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

105 cited
  • 2011A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models102 cited
  • Cited by

    No citing works inside the corpus for this window.