A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

The Journal of Computational Finance ◽

10.21314/jcf.2010.222 ◽

2010 ◽

Vol 13 (3) ◽

pp. 61-79 ◽

Author(s):

Jari Toivanen

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

American Options ◽

Front Tracking ◽

Jump Diffusion ◽

Diffusion Models ◽

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Compact Finite Difference Method for Pricing European and American Options Under Jump-Diffusion Models

Communications in Computer and Information Science - Computational Sciences - Modelling, Computing and Soft Computing ◽

10.1007/978-981-16-4772-7_7 ◽

2021 ◽

pp. 91-108

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

SIAM Journal on Numerical Analysis ◽

10.1137/090777529 ◽

2011 ◽

Vol 49 (6) ◽

pp. 2598-2617 ◽

Author(s):

YongHoon Kwon ◽

Younhee Lee

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Option Pricing ◽

Difference Method ◽

Jump Diffusion ◽

Diffusion Models ◽

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High-order accurate implicit finite difference method for evaluating American options

European Journal of Finance ◽

10.1080/1351847032000168641 ◽

2004 ◽

Vol 10 (3) ◽

pp. 212-237 ◽

Author(s):

A. Mayo

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

American Options ◽

Implicit Finite Difference ◽

Implicit Finite Difference Method

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Modelling Seismic Wave Propagation in Heterogeneous Poroelastic Media Using a High-Order Staggered Finite-Difference Method

Chinese Journal of Geophysics ◽

10.1002/cjg2.441 ◽

2003 ◽

Vol 46 (6) ◽

pp. 1206-1217 ◽

Author(s):

Xiuming WANG ◽

Hailan ZHANG ◽

Dong WANG

Keyword(s):

Wave Propagation ◽

Finite Difference ◽

Finite Difference Method ◽

Seismic Wave ◽

Difference Method ◽

Seismic Wave Propagation ◽

Poroelastic Media

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Staggered-Grid High-Order Finite-Difference Method in Elastic Wave Simulation with Variable Grids and Local Time-Steps

Chinese Journal of Geophysics ◽

10.1002/cjg2.1457 ◽

2009 ◽

Vol 52 (6) ◽

pp. 1324-1333 ◽

Author(s):

Chao HUANG ◽

Liang-Guo DONG

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Elastic Wave ◽

Difference Method ◽

Staggered Grid ◽

Wave Simulation ◽

High Order Finite Difference

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Axial vibration analysis of nanorods with variable density based on nonlocal elastic theory and high-order finite difference method

Journal of Computational Science ◽

10.1016/j.jocs.2021.101452 ◽

2021 ◽

pp. 101452

Author(s):

Y.P. Zhang

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Vibration Analysis ◽

Variable Density ◽

Elastic Theory ◽

Axial Vibration ◽

High Order Finite Difference ◽

Nonlocal Elastic Theory

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A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model

SIAM Journal on Scientific Computing ◽

10.1137/18m1172739 ◽

2018 ◽

Vol 40 (5) ◽

pp. A3322-A3343 ◽

Author(s):

Xu Guo ◽

Yutian Li ◽

Hong Wang

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Fractional Diffusion ◽

Diffusion Equations ◽

Fractional Diffusion Equations ◽

High Order Finite Difference

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On a high-order Gaussian radial basis function generated Hermite finite difference method and its application

CALCOLO ◽

10.1007/s10092-021-00443-4 ◽

2021 ◽

Vol 58 (4) ◽

Author(s):

Fazlollah Soleymani ◽

Shengfeng Zhu

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Radial Basis Function ◽

Basis Function ◽

Difference Method ◽

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An Immersed Boundary Method for Shock Wave-solid Body Interactions using a High-order Finite Difference Method

Proceedings of the 32nd International Symposium on Shock Waves (ISSW32 2019) ◽

10.3850/978-981-11-2730-4_0309-cd ◽

2019 ◽

Author(s):

B. J. Olson

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Immersed Boundary Method ◽

Immersed Boundary ◽

Boundary Method ◽

High Order Finite Difference

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A New High Order Accurate, Finite Difference Method on Quasi-variable Meshes for the Numerical Solution of Three Dimensional Poisson Equation

Differential Equations and Dynamical Systems ◽

10.1007/s12591-019-00475-x ◽

2019 ◽

Author(s):

Neelesh Kumar

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Numerical Solution ◽

Poisson Equation ◽

Difference Method ◽

Three Dimensional ◽

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