Error estimates for multinomial approximations of American options in a class of jump diffusion models

Stochastics ◽  
2011 ◽  
Vol 83 (4-6) ◽  
pp. 415-429 ◽  
Author(s):  
Yan Dolinsky
Keyword(s):  
Error Estimates ◽  
American Options ◽  
Jump Diffusion ◽  
Diffusion Models

scholarly journals An RBF–FD method for pricing American options under jump–diffusion models

2018 ◽  
Vol 76 (10) ◽  
pp. 2434-2459 ◽  
Author(s):  
Majid Haghi ◽  
Reza Mollapourasl ◽  
Michèle Vanmaele
Keyword(s):  
American Options ◽  
Jump Diffusion ◽  
Diffusion Models

Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models

2017 ◽  
Vol 7 (2) ◽  
pp. 227-247 ◽  
Author(s):  
Xiao-Ting Gan ◽  
Jun-Feng Yin ◽  
Yun-Xiang Guo
Keyword(s):  
Finite Volume ◽  
American Options ◽  
Linear Complementarity Problems ◽  
Jump Diffusion ◽  
Linear Interpolation ◽  
Finite Volume Methods ◽  
Diffusion Models ◽  
System Matrix ◽  
Element Space ◽  
European Option Pricing

AbstractA class of finite volume methods is developed for pricing either European or American options under jump-diffusion models based on a linear finite element space. An easy to implement linear interpolation technique is derived to evaluate the integral term involved, and numerical analyses show that the full discrete system matrices are M-matrices. For European option pricing, the resulting dense linear systems are solved by the generalised minimal residual (GMRES) method; while for American options the resulting linear complementarity problems (LCP) are solved using the modulus-based successive overrelaxation (MSOR) method, where the H+-matrix property of the system matrix guarantees convergence. Numerical results are presented to demonstrate the accuracy, efficiency and robustness of these methods.

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