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A Componentwise Splitting Method for Pricing American Options Under the Bates Model · Study

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ChapterA Componentwise Splitting Method for Pricing American Options Under the Bates Model

Jari Toivanen2009

Chapter2009

A Componentwise Splitting Method for Pricing American Options Under the Bates Model

32 citations·0/0 files stored·Computational methods in applied sciences

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Boundary Problems

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2002A Jump-Diffusion Model for Option Pricing 1977THE VALUATION OF AMERICAN PUT OPTIONS 2000Pricing Financial Instruments: The Finite Difference Method

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2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Modelarticle · 14 shared references 2014An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumpsarticle · 14 shared references 2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approacharticle · 14 shared references 2012Finite-Element Methodschapter · 14 shared references 2011An Iterative Method for Pricing American Options Under Jump-Diffusion Modelsarticle · 12 shared references 2011Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion modelarticle · 12 shared references

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Year2009

Typechapter

Published2009-10-19

VenueComputational methods in applied sciences

ISSN-L1871-3033

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-90-481-3239-3_16

openalex_workW4224010

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