A finite difference method for pricing European and American options under a geometric Lévy process

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2015.11.241 ◽

2015 ◽

Vol 11 (1) ◽

pp. 241-264 ◽

Author(s):

Wen Chen ◽

◽

Song Wang

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Lévy Process ◽

American Options ◽

Levy Process ◽

Geometric Levy Process

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Pricing American options using a space-time adaptive finite difference method

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2010.02.008 ◽

2010 ◽

Vol 80 (9) ◽

pp. 1922-1935 ◽

Author(s):

Jonas Persson ◽

Lina von Sydow

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

American Options ◽

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Application of the local radial basis function-based finite difference method for pricing American options

International Journal of Computer Mathematics ◽

10.1080/00207160.2014.950571 ◽

2014 ◽

Vol 92 (8) ◽

pp. 1608-1624 ◽

Author(s):

Mohan K. Kadalbajoo ◽

Alpesh Kumar ◽

Lok Pati Tripathi

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Radial Basis Function ◽

Basis Function ◽

Difference Method ◽

American Options ◽

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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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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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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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An Application of the Finite Difference Method and Control Variate Technique in the American Options Pricing

2010 The 2nd International Conference on Industrial Mechatronics and Automation ◽

10.1109/icindma.2010.5538361 ◽

2010 ◽

Author(s):

Li Xing

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

American Options ◽

Options Pricing ◽

Control Variate ◽

The Finite Difference Method ◽

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SIMULATION OF INFILTRATION IN POROUS MEDIUM BY LAPLACE TRANSFORM TECHNIQUE AND FINITE DIFFERENCE METHOD

Hybrid Methods in Engineering ◽

10.1615/hybmetheng.v3.i1.10 ◽

2001 ◽

Vol 3 (1) ◽

pp. 9 ◽

Author(s):

E. Wendland ◽

Marco T. Vilhena

Keyword(s):

Porous Medium ◽

Finite Difference ◽

Finite Difference Method ◽

Laplace Transform ◽

Difference Method ◽

Laplace Transform Technique

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ON TWO-SCALE ANALYSIS OF HETEROGENEOUS MATERIALS BY MEANS OF THE MESHLESS FINITE DIFFERENCE METHOD

International Journal for Multiscale Computational Engineering ◽

10.1615/intjmultcompeng.2016014435 ◽

2016 ◽

Vol 14 (2) ◽

pp. 113-134 ◽

Author(s):

Irena Jaworska ◽

Sławomir Milewski

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Heterogeneous Materials ◽

Scale Analysis ◽

Meshless Finite Difference Method

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HIGHER ORDER MULTIPOINT MESHLESS FINITE DIFFERENCE METHOD FOR TWO-SCALE ANALYSIS OF HETEROGENEOUS MATERIALS

International Journal for Multiscale Computational Engineering ◽

10.1615/intjmultcompeng.2019028866 ◽

2019 ◽

Vol 17 (3) ◽

pp. 239-260

Author(s):

Irena Jaworska

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Heterogeneous Materials ◽

Higher Order ◽

Scale Analysis ◽

Meshless Finite Difference Method

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HEAT TRANSFER IN LARGE RUBBER ELEMENTS THROUGH OF MODELING BY FINITE DIFFERENCE METHOD

10.26678/abcm.cobem2019.cob2019-1235 ◽

2019 ◽

Author(s):

Lucas Peixoto ◽

Ane Lis Marocki ◽

Celso Vieira Junior ◽

Viviana Mariani

Keyword(s):

Heat Transfer ◽

Finite Difference ◽

Finite Difference Method ◽

Difference Method

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