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Robust numerical methods for contingent claims under jump diffusion processes

https://doi.org/10.1093/imanum/drh011
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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A Jump-Diffusion Model for Option Pricing
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Application of the Fast Gauss Transform to Option Pricing
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What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
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Wavelet method for sensitivity analysis of European options under Merton jump-diffusion model
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Efficient solution of structural default models with correlated jumps and mutual obligations
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Option pricing under a jump-telegraph diffusion model with jumps of random size
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PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
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Numerical Methods and Volatility Models for Valuing Cliquet Options
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A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
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On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
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Markov models for commodity futures: theory and practice
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Credit Value Adjustment in the Extended Structural Default Model
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Wavelet-Galerkin Method for Option Pricing under a Double Exponential Jump-Diffusion Model
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An inverse finance problem for estimation of the volatility
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A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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Accurate Evaluation of European and American Options Under the CGMY Process
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A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
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Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE
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A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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Lévy-Based Cross-Commodity Models and Derivative Valuation
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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
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Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance
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A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
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Measuring Impact of Random Jumps Without Sample Path Generation
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Option Pricing in Some Non-Lévy Jump Models
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An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
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On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
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Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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