Advanced search
Publication Cover
International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
Submit an article Journal homepage
413
Views
21
CrossRef citations to date
0
Altmetric
SECTION B

Adaptive finite differences and IMEX time-stepping to price options under Bates model

L. von SydowDepartment of Information Technology, Uppsala University, Uppsala, SwedenCorrespondence[email protected]
View further author information
,
J. ToivanenInstitute for Computational and Mathematical Engineering (ICME), Stanford University, Stanford, CA, USA;Department of Mathematical Information Technology, University of Jyväskylä, Jyväskylä, FinlandView further author information
&
C. ZhangDepartment of Information Technology, Uppsala University, Uppsala, SwedenView further author information
Pages 2515-2529 | Received 02 Feb 2015, Accepted 08 Jun 2015, Published online: 21 Sep 2015

Citations (21)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (3)

Yong Chen & Ruizi Hu. (2023) L∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. International Journal of Computer Mathematics 100:6, pages 1373-1394.
Read now
M. Yousuf. (2019) High-order time stepping scheme for pricing American option under Bates model. International Journal of Computer Mathematics 96:1, pages 18-32.
Read now
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.
Read now

Articles from other publishers (18)

Yong Chen. (2024) Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps. Computers & Mathematics with Applications 161, pages 63-77.
Crossref
Yong Chen. (2023) Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing. Numerical Algorithms 95:3, pages 1055-1077.
Crossref
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.
Crossref
Wansheng Wang, Mengli Mao & Yi Huang. (2022) A Posteriori Error Control and Adaptivity for the IMEX BDF2 Method for PIDEs with Application to Options Pricing Models. Journal of Scientific Computing 93:2.
Crossref
Fazlollah Soleymani. (2021) An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance. International Journal of Computational Methods 19:07.
Crossref
Yong Chen. (2021) Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models. Numerical Algorithms 89:4, pages 1823-1843.
Crossref
Yong Chen. (2022) Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models. Computational and Applied Mathematics 41:2.
Crossref
Jiří Hozman & Tomáš Tichý. Option pricing under the Bates model using the discontinuous Galerkin method. Option pricing under the Bates model using the discontinuous Galerkin method.
Slobodan Milovanović & Lina von Sydow. (2020) A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences. Mathematics and Computers in Simulation 174, pages 205-217.
Crossref
F. Soleymani & M. Barfeie. (2019) Pricing options under stochastic volatility jump model: A stable adaptive scheme. Applied Numerical Mathematics 145, pages 69-89.
Crossref
Bertram Düring & Alexander Pitkin. (2019) High-order compact finite difference scheme for option pricing in stochastic volatility jump models. Journal of Computational and Applied Mathematics 355, pages 201-217.
Crossref
Rafael Company, Vera N. Egorova, Lucas Jódar & Fazlollah Soleymani. (2018) A stable local radial basis function method for option pricing problem under the Bates model. Numerical Methods for Partial Differential Equations 35:3, pages 1035-1055.
Crossref
Wansheng Wang, Yingzi Chen & Hua Fang. (2019) On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance. SIAM Journal on Numerical Analysis 57:3, pages 1289-1317.
Crossref
Karel J. in 't Hout & Jari Toivanen. (2018) ADI schemes for valuing European options under the Bates model. Applied Numerical Mathematics 130, pages 143-156.
Crossref
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.
Crossref
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.
Crossref
Lina von Sydow, Paria Ghafari, Erik Lehto & Mats Wångersjö. 2016. Numerical Mathematics and Advanced Applications ENUMATH 2015. Numerical Mathematics and Advanced Applications ENUMATH 2015 607 615 .
Bertram DDring & Alexander Pitkin. (2017) High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.