Compact finite difference method for pricing European and American options under jump-diffusion models

Kuldip Singh Patel, Mani Mehra

Type: Preprint

Publication Date: 2018-04-23

Citations: 0

Locations

arXiv (Cornell University) - View

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Works Cited by This (6)

Action	Title	Year	Authors
+	Smoothing of initial data and rates of convergence for parabolic difference equations	1970	H.- Kreiss Vidar Thomée Olof B. Widlund
+	Stability of an implicit method to evaluate option prices under local volatility with jumps	2014	Jaewook Lee Younhee Lee
+	A radial basis collocation method for pricing American options under regime-switching jump-diffusion models	2012	Ali Foroush Bastani Zaniar Ahmadi Davood Damircheli
+ PDF Chat	Conjugate Gradient Methods for Toeplitz Systems	1996	Raymond H. Chan Michael K. Ng
+ PDF Chat	Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance	2005	Ana-Maria Matache Christoph Schwab Thomas P. Wihler
+	Numerical Methods for Ordinary Differential Systems: The Initial Value Problem	1991	J. D. Lambert