Option pricing in jump diffusion models with quadratic spline collocation
Authors:
- Christina C. ChristaraCCChristina C. Christara
- Nat Chun-Ho LeungNLNat Chun-Ho Leung
- 1 April 2016
- journal article
- Published by Elsevier in Applied Mathematics and Computation
- Vol. 279, 28-42
Abstract
No abstract availableKeywords
Funding Information
- the Natural Sciences and Engineering Research Council (NSERC) of Canada (457978)
This publication has 18 references indexed in Scilit:
- Adaptive and high-order methods for valuing American optionsJournal of Computational Finance, 2011
- Quadratic spline collocation for one-dimensional linear parabolic partial differential equationsNumerical Algorithms, 2009
- On the Numerical Evaluation of Option Prices in Jump Diffusion ProcessesThe European Journal of Finance, 2007
- Robust numerical methods for contingent claims under jump diffusion processesIMA Journal of Numerical Analysis, 2005
- A penalty method for American options with jump diffusion processesNumerische Mathematik, 2004
- Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option PricingReview of Derivatives Research, 2000
- Reconstructing the unknown local volatility functionJournal of Computational Finance, 1999
- An alternative valuation model for contingent claimsJournal of Financial Economics, 1997
- Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark OptionsThe Review of Financial Studies, 1996
- Jump Diffusion Option Valuation in Discrete TimeThe Journal of Finance, 1993