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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models

Santtu Salmi Department of Mathematical Information Technology, University of Jyväskylä, PO Box 35, Agora, FI 40014, FinlandCorrespondence[email protected]
&
Jari Toivanen Department of Mathematical Information Technology, University of Jyväskylä, PO Box 35, Agora, FI 40014, Finland; Institute for Computational and Mathematical Engineering, Stanford University, Stanford, CA, 94305, USA
Pages 1112-1134 | Received 12 Sep 2011, Accepted 20 Feb 2012, Published online: 22 Mar 2012

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Jamal Amani Rad & Kourosh Parand. (2017) Pricing American options under jump-diffusion models using local weak form meshless techniques. International Journal of Computer Mathematics 94:8, pages 1694-1718.
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Articles from other publishers (19)

Vikas Maurya, Ankit Singh, Vivek S. Yadav & Manoj K. Rajpoot. (2024) Efficient pricing of options in jump–diffusion models: Novel implicit–explicit methods for numerical valuation. Mathematics and Computers in Simulation 217, pages 202-225.
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Mengli Mao, Hongjiong Tian & Wansheng Wang. (2023) A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump. Mathematical Methods in the Applied Sciences 47:2, pages 762-781.
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Lynn Boen & Karel J. in 't Hout. (2020) Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. Applied Numerical Mathematics 153, pages 114-131.
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Majid Haghi, Reza Mollapourasl & Michèle Vanmaele. (2018) An RBF–FD method for pricing American options under jump–diffusion models. Computers & Mathematics with Applications 76:10, pages 2434-2459.
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Reza Mollapourasl, Ali Fereshtian, Hengguang Li & Xun Lu. (2018) RBF-PU method for pricing options under the jump–diffusion model with local volatility. Journal of Computational and Applied Mathematics 337, pages 98-118.
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Namhyoung Kim & Younhee Lee. (2018) Estimation and prediction under local volatility jump–diffusion model. Physica A: Statistical Mechanics and its Applications 491, pages 729-740.
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Maciej Balajewicz & Jari Toivanen. (2017) Reduced order models for pricing European and American options under stochastic volatility and jump-diffusion models. Journal of Computational Science 20, pages 198-204.
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Xu Chen, Wenfei Wang, Deng Ding & Siu-Long Lei. (2017) A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. Computers & Mathematics with Applications 73:9, pages 1932-1944.
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Maciej Balajewicz & Jari Toivanen. (2016) Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models. Procedia Computer Science 80, pages 734-743.
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Karel in’t Hout & Jari Toivanen. 2016. Splitting Methods in Communication, Imaging, Science, and Engineering. Splitting Methods in Communication, Imaging, Science, and Engineering 541 575 .
Ran Zhang, Qi Zhang & Haiming Song. (2015) An efficient finite element method for pricing American multi-asset put options. Communications in Nonlinear Science and Numerical Simulation 29:1-3, pages 25-36.
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Bin Song, Enqi Liang & Bing Liu. (2014) American Option Pricing Using Particle Filtering Under Stochastic Volatility Correlated Jump Model. Journal of Systems Science and Information 2:6, pages 505-519.
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Santtu Salmi & Jari Toivanen. (2014) IMEX schemes for pricing options under jump?diffusion models. Applied Numerical Mathematics 84, pages 33-45.
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Santtu Salmi, Jari Toivanen & Lina von Sydow. (2014) An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps. SIAM Journal on Scientific Computing 36:5, pages B817-B834.
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Luis H. R. Alvarez, Pekka Matomäki & Teppo A. Rakkolainen. (2014) A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions. SIAM Journal on Control and Optimization 52:4, pages 2224-2249.
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IONUT FLORESCU, RUIHUA LIU, MARIA CRISTINA MARIANI & GRANVILLE SEWELL. (2014) NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS. International Journal of Theoretical and Applied Finance 16:08, pages 1350046.
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Michael Aichinger & Andreas Binder. 2013. A Workout in Computational Finance. A Workout in Computational Finance 301 306 .
Aslam Aly El-Faïdal Saib, Arshad Ahmud Iqbal Peer & Muddun Bhuruth. 2013. Computational Science and Its Applications – ICCSA 2013. Computational Science and Its Applications – ICCSA 2013 77 90 .
Santtu Salmi & Jari Toivanen. (2013) Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models. SSRN Electronic Journal.
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