6533b839fe1ef96bd12a58dc
RESEARCH PRODUCT
A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Santtu SalmiJari ToivanenJari Toivanensubject
Iterative methodNumerical analysisComplementarity (molecular biology)Jump diffusionFinite difference methodJumpFinite differenceApplied mathematicsLinear complementarity problemMathematicsdescription
Partial-integro differential formulations are often used for pricing American options under jump-diffusion models. A survey on such formulations and numerical methods for them is presented. A detailed description of six efficient methods based on a linear complementarity formulation and finite difference discretizations is given. Numerical experiments compare the performance of these methods for pricing American put options under finite activity jump models.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-01-01 | SSRN Electronic Journal |