Found 54 Documents (Results 1–54)
Closed-form option pricing for exponential Lévy models: a residue approach. (English) Zbl 1518.91270
A finite elements approach for spread contract valuation via associated two-dimensional PIDE. (English) Zbl 1524.91148
A wavelet-based novel approximation to investigate the sensitivities of various path-independent binary options. (English) Zbl 1530.35319
Two-dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option. (English) Zbl 1533.35343
Option valuation under the VG process by a DG method. (English) Zbl 07442410
Reviewer: Athanasios Yannacopoulos (Athína)
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. (English) Zbl 1475.91356
Reviewer: George Stoica (Saint John)
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function. (English) Zbl 1481.65160
Finite element approximation of an obstacle problem for a class of integro-differential operators. (English) Zbl 1442.65347
Implied stopping rules for American basket options from Markovian projection. (English) Zbl 1420.91446
Numerical solutions of Black-Scholes integro-differential equations with convergence analysis. (English) Zbl 1418.65202
The valuation of American options in a multidimensional exponential Lévy model. (English) Zbl 1417.91506
Asymptotically compatible schemes for the approximation of fractional Laplacian and related nonlocal diffusion problems on bounded domains. (English) Zbl 1356.65239
Reviewer: Abdallah Bradji (Annaba)
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. (English) Zbl 1355.60060
Reviewer: Marius Iosifescu (Bucureşti)
Classification of Lévy processes with parabolic Kolmogorov backward equations. (English) Zbl 1443.60045
Theory Probab. Appl. 60, No. 3, 383-406 (2016) and Teor. Veroyatn. Primen. 60, No. 3, 525-552 (2016).
Unconditional positive stable numerical solution of partial integrodifferential option pricing problems. (English) Zbl 1435.91197
Necessary optimality conditions for the control of partial integro-differential equations. (English) Zbl 1336.49029
Al-Baali, Mehiddin (ed.) et al., Numerical analysis and optimization. Selected papers based on the presentations at the 3rd international conference, NAO-III, Muscat, Oman, January 5–9, 2014. Cham: Springer (ISBN 978-3-319-17688-8/hbk; 978-3-319-17689-5/ebook). Springer Proceedings in Mathematics & Statistics 134, 77-94 (2015).
Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models. (English) Zbl 1331.91191
A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process. (English) Zbl 1351.91024
The obstacle problem for semilinear parabolic partial integro-differential equations. (English) Zbl 1322.60132
Low-dimensional partial integro-differential equations for high-dimensional Asian options. (English) Zbl 1418.91518
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 331-348 (2014).
Variational solutions of the pricing PIDEs for European options in Lévy models. (English) Zbl 1395.91497
Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models. (English) Zbl 1310.65168
Reviewer: Ivan Secrieru (Chişinău)
Positive solutions of European option pricing with CGMY process models using double discretization difference schemes. (English) Zbl 1291.91231
Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models. (English) Zbl 1256.91063
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models. (English) Zbl 1255.91410
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices. (English) Zbl 1253.91187
Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs. (English) Zbl 1250.65118
Reviewer: Ruxandra Stavre (Bucureşti)
Hedging electricity swaptions using partial integro-differential equations. (English) Zbl 1236.60066
A finite element discretization method for option pricing with the Bates model. (English) Zbl 1242.91205
A posteriori error analysis for a class of integral equations and variational inequalities. (English) Zbl 1202.65085
Reviewer: Jan Lovíšek (Bratislava)
Wavelet solution of variable order pseudodifferential equations. (English) Zbl 1202.65013
Reviewer: Adrian Carabineanu (Bucureşti)
Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces. (English) Zbl 1189.65311
Reviewer: Kai Diethelm (Braunschweig)
Smart expansion and fast calibration for jump diffusions. (English) Zbl 1195.91153
Reviewer: Yuliya Mishura (Kyïv)
Numerical methods for Lévy processes. (English) Zbl 1195.91175
Reviewer: Yuliya Mishura (Kyïv)
Exponential time integration for fast finite element solutions of some financial engineering problems. (English) Zbl 1154.91472
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models. (English) Zbl 1152.91026
Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions. (English) Zbl 1153.65125
Reviewer: Seenith Sivasundaram (Daytona Beach)
Exponential time integration and Chebychev discretisation schemes for fast pricing of options. (English) Zbl 1151.91546
Identification of the local speed function in a Lévy model for option pricing. (English) Zbl 1149.91034
Reviewer: Pedro A. Morettin (São Paulo)
Numerical solution of two asset jump diffusion models for option valuation. (English) Zbl 1136.91422
Anisotropic stable Lévy copula processes – analytical and numerical aspects. (English) Zbl 1137.91446
Linear complexity solution of parabolic integro-differential equations. (English) Zbl 1102.65139
Reviewer: Neville Ford (Chester)
Wavelet Galerkin pricing of American options on Lévy driven assets. (English) Zbl 1134.91450
MSC:
91B28
Numerical valuation of options with jumps in the underlying. (English) Zbl 1117.91028
MSC:
91B28
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