References
- Black F, Scholes M. The pricing of options and corporate liabilities. J Polit Econ. 1973;81(3):637–654. doi: 10.1086/260062
- Lee K, Protter P. Hedging claims with feedback jumps in the price process. Commun Stoch Anal. 2008;2(1):125–143.
- Lee K, Song S. Insiders' hedging in a jump diffusion model. Quant Finance. 2007;7(5):537–545. doi: 10.1080/14697680601043191
- Park S, Lee K. Insiders' hedging in a stochastic volatility model. IMA J Manag Math. 2016;27(2):281–295. doi: 10.1093/imaman/dpu023
- Park SH, Lee K. Informed traders' hedging with news arrivals. J Stat Plan Inference. 2016;175:1–10. doi: 10.1016/j.jspi.2015.11.006
- Chan T. Pricing contingent claims on stocks driven by levy process. Ann Appl Probab. 1999;9(2):504–528. doi: 10.1214/aoap/1029962753
- Cont R, Tankov P. Financial modelling with jump processes. Boca Raton, FL: Chapman and Hall; 2004. (CRC Financial Mathematics Series).
- Cont R, Voltchkova E. A finite difference scheme for option pricing in jump diffusion and exponential Lévy models. SIAM J Numer Anal. 2005;43(4):1596–1626. doi: 10.1137/S0036142903436186
- Zhang K, Wang S. A computational scheme for options under jump diffusion processes. Int J Numer Anal Model. 2009;6(1):110–123.
- Kwon Y, Lee Y. A second-order finite difference method for option pricing under jump-diffusion models. SIAM J Numer Anal. 2011;49(6):2598–2617. doi: 10.1137/090777529
- SenGupta I, Mariani MC. Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance. Differ Equ Dyn Syst. 2012;20(2):93–109. doi: 10.1007/s12591-012-0107-9
- Florescu I, Mariani MC, Sewell G. Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market. Quant Finance. 2014;14(8):1445–1452. doi: 10.1080/14697688.2011.618144
- Allegretto W, Lin Y, Yang H. Finite element error estimates for a nonlocal problem in American option valuation. SIAM J Numer Anal. 2001;39(3):834–857. doi: 10.1137/S0036142900370137
- Rambeerich N, Pantelous AA. A high order finite element scheme for pricing options under regime switching jump diffusion processes. J Comput Appl Math. 2016;300:83–96. doi: 10.1016/j.cam.2015.12.019
- Kadalbajoo MK, Tripathi LP, Kumar A. An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options. SIAM J Numer Anal. 2017;55(2):869–891. doi: 10.1137/16M1074746
- Salmi S, Toivanen J. IMEX schemes for pricing options under jump-diffusion models. Appl Numer Math. 2014;84:33–45. doi: 10.1016/j.apnum.2014.05.007
- Schweizer M. Option hedging for semimartingales. Stoch Process Their Appl. 1991;37:339–363. doi: 10.1016/0304-4149(91)90053-F