Robust spectral method for numerical valuation of european options under Merton's jump-diffusion model

2014 ◽  
Vol 30 (4) ◽  
pp. 1169-1188 ◽  
Author(s):  
E. Pindza ◽  
K.C. Patidar ◽  
E. Ngounda
Keyword(s):  
Spectral Method ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
European Options ◽  
Jump Diffusion Model

The double exponential jump diffusion model for pricing European options under fuzzy environments

2012 ◽  
Vol 29 (3) ◽  
pp. 780-786 ◽  
Author(s):  
Li-Hua Zhang ◽  
Wei-Guo Zhang ◽  
Wei-Jun Xu ◽  
Wei-Lin Xiao
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
European Options ◽  
Double Exponential ◽  
Jump Diffusion Model

scholarly journals A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk

2012 ◽  
Vol 2012 ◽  
pp. 1-17 ◽  
Author(s):  
Su-mei Zhang ◽  
Li-he Wang
Keyword(s):  
Fourier Transform ◽  
Fast Fourier Transform ◽  
Stock Returns ◽  
Stochastic Volatility ◽  
Diffusion Model ◽  
Numerical Solutions ◽  
Jump Diffusion ◽  
European Options ◽  
Double Exponential ◽  
Jump Diffusion Model

We consider European options pricing with double jumps and stochastic volatility. We derived closed-form solutions for European call options in a double exponential jump-diffusion model with stochastic volatility (SVDEJD). We developed fast and accurate numerical solutions by using fast Fourier transform (FFT) technique. We compared the density of our model with those of other models, including the Black-Scholes model and the double exponential jump-diffusion model. At last, we analyzed several effects on option prices under the proposed model. Simulations show that the SVDEJD model is suitable for modelling the long-time real-market changes and stock returns are negatively correlated with volatility. The model and the proposed option pricing method are useful for empirical analysis of asset returns and managing the corporate credit risks.

scholarly journals A combined compact difference scheme for option pricing in the exponential jump-diffusion models

2019 ◽  
Vol 2019 (1) ◽  
Author(s):  
Rahman Akbari ◽  
Reza Mokhtari ◽  
Mohammad Taghi Jahandideh
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Asset Market ◽  
European Options ◽  
Compact Difference Scheme ◽  
High Order Method ◽  
Compact Difference ◽  
Black Scholes ◽  
Jump Diffusion Model

AbstractIn the present paper, starting with the Black–Scholes equations, whose solutions are the values of European options, we describe the exponential jump-diffusion model of Levy process type. Here, a jump-diffusion model for a single-asset market is considered. Under this assumption the value of a European contingency claim satisfies a general “partial integro-differential equation” (PIDE). With a combined compact difference (CCD) scheme for the spatial discretization, a high-order method is proposed for solving exponential jump-diffusion models. The method is sixth-order accurate in space and second-order accurate in time. A known analytical solution to the model is used to evaluate the performance of the numerical scheme.

scholarly journals A New Binomial Tree Method for European Options under the Jump Diffusion Model

2019 ◽  
Vol 07 (12) ◽  
pp. 3012-3021
Author(s):  
Lingkang Zhu ◽  
Xiu Kan ◽  
Huisheng Shu ◽  
Zifeng Wang
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
European Options ◽  
Binomial Tree ◽  
Jump Diffusion Model ◽  
Tree Method

DG method for pricing European options under Merton jump-diffusion model

2019 ◽  
Vol 64 (5) ◽  
pp. 501-530
Author(s):  
Jiří Hozman ◽  
Tomáš Tichý ◽  
Miloslav Vlasák
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
European Options ◽  
Dg Method ◽  
Jump Diffusion Model
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