We propose an explicit-implicit finite difference scheme which can be used to price European and barrier options in such models. We study stability and convergence of the scheme proposed and, under additional conditions, provide estimates on the rate of convergence.

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American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models - IEEE Xplore Document

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Email to a friend. Abstract References PDF Cited By. Web of Science You must be logged in with an active subscription to view this. AMS Subject Headings 47G20 , 65M06 , 65M12 , 49L25 , 60H30 , 60G Society for Industrial and Applied Mathematics.

Rama Cont and Ekaterina Voltchkova. Cited by Pricing American options under jump-diffusion models using local weak form meshless techniques. International Journal of Computer Mathematics Applied Mathematics and Computation , Journal of Computational and Applied Mathematics , International Journal of Applied and Computational Mathematics Applied Numerical Mathematics , Communications in Statistics - Simulation and Computation International Journal of Theoretical and Applied Finance Kadalbajoo , Lok Pati Tripathi , and Alpesh Kumar.

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Communications in Statistics - Theory and Methods Communications in Nonlinear Science and Numerical Simulation Journal of Industrial and Management Optimization 9: Procedia Computer Science 18 , The Scientific World Journal , Abstract and Applied Analysis , Journal of Function Spaces and Applications , Journal of Computational and Applied Mathematics American put option under jump diffusion.

Mathematical and Computer Modelling Mathematical Models and Methods in Applied Sciences Journal of Futures Markets Linear Algebra and its Applications East Asian Journal on Applied Mathematics 1: SIAM Journal on Financial Mathematics 2: A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes. Derivatives Pricing, Hedge Funds and Term Structure Models, Mathematics and Economics An efficient finite element approach.

Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

Finite Difference Methods for Barrier Options. Encyclopedia of Quantitative Finance. Partial Integro-Differential Equations PIDES.

American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models - IEEE Xplore Document

Barndorff-Nielsen and Shephard BNS Models. SIAM Journal on Financial Mathematics 1: Journal of Financial Economics Mathematical Modelling and Numerical Analysis Mathematical Methods of Operations Research Journal of Applied Probability Applied Numerical Mathematics Asia-Pacific Financial Markets Solution of a nonlinear pricing PDE. Statistical Mechanics and its Applications Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering.

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