Adaptive finite differences and IMEX time-stepping to price options under Bates model
نویسندگان
چکیده
منابع مشابه
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion model which assumes the price of the underlying asset to behave like a geometrical Brownian motion with a drift and jumps whose size is log-double-exponentially distributed. The price of a European option is given by a partial integro-differential equation (PIDE) while American options lead to a...
متن کاملNumerical valuation of options under Kou’s model
Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion model which assumes the price of the underlying asset to behave like a geometrical Brownian motion with a drift and jumps whose size is log-double-exponentially distributed. The price of a European option is given by a partial integro-differential equation (PIDE) while American options lead to a...
متن کاملA Componentwise Splitting Method for Pricing American Options under the Bates Model
A linear complementarity problem (LCP) is formulated for the price of American options under the Bates model which combines the Heston stochastic volatility model and the Merton jump-diffusion model. A finite difference discretization is described for the partial derivatives and a simple quadrature is used for the integral term due to jumps. A componentwise splitting method is generalized for t...
متن کاملPricing Options in Jump-Diffusion Models: An Extrapolation Approach
We propose a new computational method for the valuation of options in jump-diffusion models. The option value function for European and barrier options satisfies a partial integrodifferential equation (PIDE). This PIDE is commonly integrated in time by implicit-explicit (IMEX) time discretization schemes, where the differential (diffusion) term is treated implicitly, while the integral (jump) t...
متن کاملComparison of Selected Advanced Numerical Methods for Greeks Calculation of Vanilla Options
Option valuation has been a challenging issue of financial engineering and optimization for a long time. The increasing complexity of market conditions requires utilization of advanced models that, commonly, do not lead to closed-form solutions. Development of novel numerical procedures, which prove to be efficient within various option valuation problems, is therefore worthwhile. Notwithstan...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Int. J. Comput. Math.
دوره 92 شماره
صفحات -
تاریخ انتشار 2015