Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Operations Research ◽

10.1287/opre.1070.0419 ◽

2008 ◽

Vol 56 (2) ◽

pp. 304-325 ◽

Author(s):

Liming Feng ◽

Vadim Linetsky

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.5539 ◽

2019 ◽

Vol 42 (8) ◽

pp. 2646-2663 ◽

Author(s):

Yingzi Chen ◽

Aiguo Xiao ◽

Wansheng Wang

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Compact Scheme ◽

Pricing Options

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IMEX schemes for pricing options under jump–diffusion models

Applied Numerical Mathematics ◽

10.1016/j.apnum.2014.05.007 ◽

2014 ◽

Vol 84 ◽

pp. 33-45 ◽

Author(s):

Santtu Salmi ◽

Jari Toivanen

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

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Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models

Computational Economics ◽

10.1007/s10614-016-9563-6 ◽

2016 ◽

Vol 47 (4) ◽

pp. 623-643 ◽

Author(s):

Ron Tat Lung Chan

Keyword(s):

Radial Basis Function ◽

Basis Function ◽

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

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Pricing Options in Jump Diffusion Models Using Mellin Transforms

Journal of Mathematical Finance ◽

10.4236/jmf.2013.33037 ◽

2013 ◽

Vol 03 (03) ◽

pp. 366-373 ◽

Author(s):

Robert Frontczak

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Mellin Transforms ◽

Pricing Options

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An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models

International Journal of Computer Mathematics ◽

10.1080/00207160.2018.1446526 ◽

2018 ◽

Vol 96 (6) ◽

pp. 1137-1157 ◽

Author(s):

Kamran Kazmi

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

Predictor Corrector

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2022909 ◽

2012 ◽

Author(s):

Paulo Rodrigues ◽

Norman Seeger ◽

Roman Frey

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Computation of the unknown volatility from integral option price observations in jump–diffusion models

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2021.05.008 ◽

2021 ◽

Author(s):

Slavi G. Georgiev ◽

Lubin G. Vulkov

Keyword(s):

Option Price ◽

Jump Diffusion ◽

Diffusion Models

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Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1872641 ◽

2021 ◽

pp. 1-35

Author(s):

Naiqi Liu ◽

Kunyang Song ◽

Yuping Song ◽

Xiaochen Wang

Keyword(s):

Kernel Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Smoothed Kernel

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