Numerical valuation of options with jumps in the underlying
Applied Numerical Mathematics
Hedging with a correlated asset: Solution of a nonlinear pricing PDE
Journal of Computational and Applied Mathematics
Numerical solution of two asset jump diffusion models for option valuation
Applied Numerical Mathematics
Exponential time integration and Chebychev discretisation schemes for fast pricing of options
Applied Numerical Mathematics
Efficient solution of a partial integro-differential equation in finance
Applied Numerical Mathematics
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
Journal of Computational and Applied Mathematics
Penalty methods for the numerical solution of American multi-asset option problems
Journal of Computational and Applied Mathematics
On the numerical evaluation of option prices in the variance gamma model
International Journal of Computer Mathematics - RECENT ADVANCES IN COMPUTATIONAL AND APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING
Journal of Computational and Applied Mathematics
Dynamic Hedging Under Jump Diffusion with Transaction Costs
Operations Research
Numerical valuation of options with jumps in the underlying
Applied Numerical Mathematics
Pricing American options for jump diffusions with iterated SOR
FEA '07 Proceedings of the Fourth IASTED International Conference on Financial Engineering and Applications
Computers & Mathematics with Applications
An iterative method for pricing American options under jump-diffusion models
Applied Numerical Mathematics
SIAM Journal on Financial Mathematics
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
SIAM Journal on Scientific Computing
Methods for Pricing American Options under Regime Switching
SIAM Journal on Scientific Computing
Pricing American options when asset prices jump
Operations Research Letters
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Computational Economics
A new high-order compact scheme for American options under jump-diffusion processes
International Journal of Business Intelligence and Data Mining
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The fair price for an American option where the underlying asset follows a jump diffusion process can be formulated as a partial integral differential linear complementarity problem. We develop an implicit discretization method for pricing such American options. The jump diffusion correlation integral term is computed using an iterative method coupled with an FFT while the American constraint is imposed by using a penalty method. We derive sufficient conditions for global convergence of the discrete penalized equations at each timestep. Finally, we present numerical tests which illustrate such convergence.