A L-stable Numerical Scheme for Option Pricing under Jump-Diffusion Models

2012 ◽  
pp. 83-88
Author(s):  
Wei Li ◽  
Shengwu Zhou
Keyword(s):  
Option Pricing ◽  
Numerical Scheme ◽  
Jump Diffusion ◽  
Diffusion Models

scholarly journals Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models

2014 ◽  
Vol 2014 ◽  
pp. 1-11
Author(s):  
Kaili Xiang ◽  
Yindong Zhang ◽  
Xiaotong Mao
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Financial Mathematics ◽  
Critical Issues ◽  
Option Pricing Model ◽  
Basic Hypothesis

Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models.

scholarly journals Option pricing under regime-switching jump–diffusion models

2014 ◽  
Vol 256 ◽  
pp. 152-167 ◽  
Author(s):  
Massimo Costabile ◽  
Arturo Leccadito ◽  
Ivar Massabó ◽  
Emilio Russo
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models

scholarly journals Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

2012 ◽  
Vol 2012 ◽  
pp. 1-20 ◽  
Author(s):  
M.-C. Casabán ◽  
R. Company ◽  
L. Jódar ◽  
J.-V. Romero
Keyword(s):  
Option Pricing ◽  
Numerical Solution ◽  
Jump Diffusion ◽  
Spatial Domain ◽  
Diffusion Models ◽  
Explicit Scheme ◽  
Integrodifferential Equations ◽  
Difference Schemes

A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is proposed. Stability, consistency, and positivity of the resulting explicit scheme are analyzed. Advantages of the method are illustrated with several examples.

Option pricing under jump-diffusion models with mean-reverting bivariate jumps

2014 ◽  
Vol 42 (1) ◽  
pp. 27-33 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Xenos Chang-Shuo Lin ◽  
Wan-Ling Chao
Keyword(s):  
Option Pricing ◽  
Jump Diffusion ◽  
Diffusion Models
Sign in / Sign up

Export Citation Format

Share Document