High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2021.11.012 ◽

2022 ◽

Vol 105 ◽

pp. 29-40

Author(s):

Abhijit Ghosh ◽

Chittaranjan Mishra

Keyword(s):

Diffusion Model ◽

High Performance ◽

American Options ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

High Performance Computation

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

SIAM Journal on Numerical Analysis ◽

10.1137/s0036142902409744 ◽

2005 ◽

Vol 42 (5) ◽

pp. 1899-1913 ◽

Author(s):

Xiao-song Qian ◽

Cheng-long Xu ◽

Li-shang Jiang ◽

Bao-jun Bian

Keyword(s):

Diffusion Model ◽

American Options ◽

Jump Diffusion ◽

Binomial Tree ◽

Jump Diffusion Model ◽

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Pricing American Options in a Jump Diffusion Model

2011 14th IEEE International Conference on Computational Science and Engineering ◽

10.1109/cse.2011.48 ◽

2011 ◽

Author(s):

Meihui Guo ◽

Yu-Chun Chang ◽

Shih-Feng Huang

Keyword(s):

Diffusion Model ◽

American Options ◽

Jump Diffusion ◽

Jump Diffusion Model

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Free boundary and American options in a jump-diffusion model

European Journal of Applied Mathematics ◽

10.1017/s0956792505006340 ◽

2005 ◽

Vol 17 (01) ◽

pp. 95 ◽

Author(s):

YANG CHENGRONG ◽

JIANG LISHANG ◽

BIAN BAOJUN

Keyword(s):

Free Boundary ◽

Diffusion Model ◽

American Options ◽

Jump Diffusion ◽

Jump Diffusion Model

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Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

Applied Numerical Mathematics ◽

10.1016/j.apnum.2020.02.004 ◽

2020 ◽

Vol 153 ◽

pp. 114-131

Author(s):

Lynn Boen ◽

Karel J. in 't Hout

Keyword(s):

Diffusion Model ◽

American Options ◽

Operator Splitting ◽

Jump Diffusion ◽

Splitting Schemes ◽

Jump Diffusion Model

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Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

SIAM Journal on Scientific Computing ◽

10.1137/060674697 ◽

2008 ◽

Vol 30 (4) ◽

pp. 1949-1970 ◽

Author(s):

Jari Toivanen

Keyword(s):

Diffusion Model ◽

American Options ◽

Jump Diffusion ◽

Jump Diffusion Model

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A new radial basis functions method for pricing American options under Merton's jump-diffusion model

International Journal of Computer Mathematics ◽

10.1080/00207160.2012.690034 ◽

2012 ◽

Vol 89 (9) ◽

pp. 1164-1185 ◽

Author(s):

A. A.E.F. Saib ◽

D. Y. Tangman ◽

M. Bhuruth

Keyword(s):

Radial Basis Functions ◽

Diffusion Model ◽

American Options ◽

Jump Diffusion ◽

Basis Functions ◽

Radial Basis ◽

Jump Diffusion Model

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The Pricing of Vulnerable Options Under Jump-Diffusion Model

Acta Analysis Functionalis Applicata ◽

10.3724/sp.j.1160.2013.00204 ◽

2013 ◽

Vol 15 (3) ◽

pp. 204

Author(s):

Chixiang CHEN ◽

Biyi SHEN ◽

Guangyu YANG

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Vulnerable Options

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MCMC estimation of a multi-factor jump diffusion model for power prices

The Journal of Energy Markets ◽

10.21314/jem.2008.016 ◽

2008 ◽

Vol 1 (4) ◽

pp. 65-90 ◽

Author(s):

Rikard Green ◽

Marcus Nossman

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Mcmc Estimation ◽

Jump Diffusion Model

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A Revision of the Merton Jump-Diffusion Model: A Simple, Closed-Form Formula

SSRN Electronic Journal ◽

10.2139/ssrn.3412520 ◽

2019 ◽

Author(s):

Moawia Alghalith

Keyword(s):

Closed Form ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Closed Form Formula

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