A Jump-Diffusion Model for Option Pricing
Management Science
A penalty method for American options with jump diffusion processes
Numerische Mathematik
Exponential time integration and Chebychev discretisation schemes for fast pricing of options
Applied Numerical Mathematics
Journal of Computational and Applied Mathematics
Numerical valuation of options with jumps in the underlying
Applied Numerical Mathematics
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions
Numerische Mathematik
An iterative method for pricing American options under jump-diffusion models
Applied Numerical Mathematics
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
SIAM Journal on Scientific Computing
Hi-index | 0.00 |
Jump-diffusion option pricing models have the ability to fit various implied volatility patterns observed in market option prices. In the partial differential equations framework, pricing an American put when the underlying follows a jump process requires the solution of a partial integro-differential equation. For this problem, second-order finite difference discretisations have been commonly employed. This work develops a new scheme which is based on a high-order compact discretisation of the spatial terms of the equation and a fourth-order time integration scheme. We demonstrate that the scheme is highly accurate for at-the-money American options and oscillation-free greeks are computed.