Related papers: An efficient numerical method for American options…
This paper concerns the numerical solution of the two-dimensional time-dependent partial integro-differential equation (PIDE) that holds for the values of European-style options under the two-asset Kou jump-diffusion model. A main feature…
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Merton jump-diffusion model.…
In this note we consider the approximation of the Greeks Delta and Gamma of American-style options through the numerical solution of time-dependent partial differential complementarity problems (PDCPs). This approach is very attractive as…
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the proposed compact scheme, the second derivative approximation…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments…
Despite significant advancements in machine learning for derivative pricing, the efficient and accurate valuation of American options remains a persistent challenge due to complex exercise boundaries, near-expiry behavior, and intricate…
This paper deals with the numerical solution of the two-dimensional time-dependent Merton partial integro-differential equation (PIDE) for the values of rainbow options under the two-asset Merton jump-diffusion model. Key features of this…
This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dimensional partial integro-differential equations (PIDEs) are…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion…
We study the principal component analysis based approach introduced by Reisinger & Wittum (2007) and the comonotonic approach considered by Hanbali & Linders (2019) for the approximation of American basket option values via multidimensional…
This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously complex because discrete dividends create abrupt price drops and…
We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent…
In this study, we introduce numerical methods for discretizing continuous-time linear-quadratic optimal control problems (LQ-OCPs). The discretization of continuous-time LQ-OCPs is formulated into differential equation systems, and we can…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
This paper detailedly discusses the locally one-dimensional numerical methods for efficiently solving the three-dimensional fractional partial differential equations, including fractional advection diffusion equation and Riesz fractional…
Designing efficient and rigorous numerical methods for sequential decision-making under uncertainty is a difficult problem that arises in many applications frameworks. In this paper we focus on the numerical solution of a subclass of…