Wang, Ming-Kai; Wang, Cheng; Yin, Jun-Feng A class of fourth-order Padé schemes for fractional exotic options pricing model. (English) Zbl 07510613 Electron Res. Arch. 30, No. 3, 874-897 (2022). MSC: 91-XX 65-XX PDF BibTeX XML Cite \textit{M.-K. Wang} et al., Electron Res. Arch. 30, No. 3, 874--897 (2022; Zbl 07510613) Full Text: DOI OpenURL
Yoshioka, Hidekazu; Tsujimura, Motoh Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty. (English) Zbl 07504623 Comput. Math. Appl. 112, 23-54 (2022). MSC: 92-XX 93-XX PDF BibTeX XML Cite \textit{H. Yoshioka} and \textit{M. Tsujimura}, Comput. Math. Appl. 112, 23--54 (2022; Zbl 07504623) Full Text: DOI OpenURL
Kim, Jerim; Kim, Bara; Kim, Jeongsim; Lee, Sungji Computation of powered option prices under a general model for underlying asset dynamics. (English) Zbl 1483.91233 J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022). MSC: 91G20 44A10 60H30 PDF BibTeX XML Cite \textit{J. Kim} et al., J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022; Zbl 1483.91233) Full Text: DOI OpenURL
Yoshioka, Hidekazu; Yaegashi, Yuta Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions. (English) Zbl 07525297 J. Math. Ind. 11, Paper No. 16, 34 p. (2021). MSC: 93E20 93C27 49J40 49K45 49L20 PDF BibTeX XML Cite \textit{H. Yoshioka} and \textit{Y. Yaegashi}, J. Math. Ind. 11, Paper No. 16, 34 p. (2021; Zbl 07525297) Full Text: DOI OpenURL
Kudryavtsev, Oleg A simple Wiener-Hopf factorization approach for pricing double-barrier options. (English) Zbl 1479.91405 Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 273-291 (2021). MSC: 91G20 60G51 44A10 PDF BibTeX XML Cite \textit{O. Kudryavtsev}, Springer Proc. Math. Stat. 358, 273--291 (2021; Zbl 1479.91405) Full Text: DOI OpenURL
Company, Rafael; Egorova, Vera N.; Jódar, Lucas A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems. (English) Zbl 07431479 Math. Comput. Simul. 189, 69-84 (2021). MSC: 65-XX 91-XX PDF BibTeX XML Cite \textit{R. Company} et al., Math. Comput. Simul. 189, 69--84 (2021; Zbl 07431479) Full Text: DOI OpenURL
Georgiev, Slavi G.; Vulkov, Lubin G. Computation of the unknown volatility from integral option price observations in jump-diffusion models. (English) Zbl 07429019 Math. Comput. Simul. 188, 591-608 (2021). MSC: 91-XX 65-XX PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Math. Comput. Simul. 188, 591--608 (2021; Zbl 07429019) Full Text: DOI OpenURL
de Souza, Manassés; Severo, Uberlandio B.; do Rêgo, Thiago Luiz O. On solutions for fractional \(N/s\)-Laplacian equations involving exponential growth. (English) Zbl 1479.35383 NoDEA, Nonlinear Differ. Equ. Appl. 28, No. 6, Paper No. 60, 33 p. (2021). MSC: 35J60 35R11 35A01 35A15 PDF BibTeX XML Cite \textit{M. de Souza} et al., NoDEA, Nonlinear Differ. Equ. Appl. 28, No. 6, Paper No. 60, 33 p. (2021; Zbl 1479.35383) Full Text: DOI OpenURL
Gonon, Lukas; Schwab, Christoph Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. (English) Zbl 1475.91356 Finance Stoch. 25, No. 4, 615-657 (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 68T07 60G51 45K05 91G80 PDF BibTeX XML Cite \textit{L. Gonon} and \textit{C. Schwab}, Finance Stoch. 25, No. 4, 615--657 (2021; Zbl 1475.91356) Full Text: DOI arXiv OpenURL
Wang, Wansheng; Mao, Mengli; Wang, Zheng An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function. (English) Zbl 1481.65160 ESAIM, Math. Model. Numer. Anal. 55, No. 3, 913-938 (2021). MSC: 65M06 65N06 65M12 65M15 65D30 91G20 91G60 65J10 60G51 35R09 35Q91 PDF BibTeX XML Cite \textit{W. Wang} et al., ESAIM, Math. Model. Numer. Anal. 55, No. 3, 913--938 (2021; Zbl 1481.65160) Full Text: DOI OpenURL
Aguilar, Jean-Philippe The value of power-related options under spectrally negative Lévy processes. (English) Zbl 1470.91266 Rev. Deriv. Res. 24, No. 2, 173-196 (2021). MSC: 91G20 60G51 60G52 60E07 PDF BibTeX XML Cite \textit{J.-P. Aguilar}, Rev. Deriv. Res. 24, No. 2, 173--196 (2021; Zbl 1470.91266) Full Text: DOI arXiv OpenURL
Dumitrescu, Roxana; Reisinger, Christoph; Zhang, Yufei Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps. (English) Zbl 07371814 Appl. Math. Optim. 83, No. 3, 1387-1429 (2021). MSC: 65M06 65M12 65Y05 62L15 60J74 93E20 93B52 91G80 35A23 35A15 35D40 PDF BibTeX XML Cite \textit{R. Dumitrescu} et al., Appl. Math. Optim. 83, No. 3, 1387--1429 (2021; Zbl 07371814) Full Text: DOI arXiv OpenURL
Lin, Li; Duan, Jinqiao; Wang, Xiao; Zhang, Yanjie Dynamical behavior of a nonlocal Fokker-Planck equation for a stochastic system with tempered stable noise. (English) Zbl 1462.37060 Chaos 31, No. 5, 051105, 10 p. (2021). MSC: 37H05 35Q84 60G51 PDF BibTeX XML Cite \textit{L. Lin} et al., Chaos 31, No. 5, 051105, 10 p. (2021; Zbl 1462.37060) Full Text: DOI arXiv OpenURL
Yi, Son-Young; Lee, Kiseop Numerical study for European option pricing equations with non-Levy jumps. (English) Zbl 1471.91623 Appl. Anal. 100, No. 7, 1454-1470 (2021). MSC: 91G60 65M06 91G20 60H30 60J74 PDF BibTeX XML Cite \textit{S.-Y. Yi} and \textit{K. Lee}, Appl. Anal. 100, No. 7, 1454--1470 (2021; Zbl 1471.91623) Full Text: DOI OpenURL
Yue, Xiaoqiang; Pan, Kejia; Zhou, Jie; Weng, Zhifeng; Shu, Shi; Tang, Juan A multigrid-reduction-in-time solver with a new two-level convergence for unsteady fractional Laplacian problems. (English) Zbl 07336181 Comput. Math. Appl. 89, 57-67 (2021). MSC: 65-XX 74-XX PDF BibTeX XML Cite \textit{X. Yue} et al., Comput. Math. Appl. 89, 57--67 (2021; Zbl 07336181) Full Text: DOI arXiv OpenURL
Shirzadi, Mohammad; Dehghan, Mehdi; Bastani, Ali Foroush A trustable shape parameter in the kernel-based collocation method with application to pricing financial options. (English) Zbl 1464.91076 Eng. Anal. Bound. Elem. 126, 108-117 (2021). MSC: 91G60 65M70 45K05 60G51 60H30 PDF BibTeX XML Cite \textit{M. Shirzadi} et al., Eng. Anal. Bound. Elem. 126, 108--117 (2021; Zbl 1464.91076) Full Text: DOI OpenURL
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 1459.65138 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 1459.65138) Full Text: DOI arXiv OpenURL
Shirzadi, Mohammad; Dehghan, Mehdi; Foroush Bastani, Ali On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation. (English) Zbl 1463.91203 Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020). MSC: 91G60 45K05 60G51 60H30 65M06 65M70 35R35 91G20 PDF BibTeX XML Cite \textit{M. Shirzadi} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020; Zbl 1463.91203) Full Text: DOI OpenURL
Aguilar, Jean-Philippe Some pricing tools for the variance gamma model. (English) Zbl 1448.91289 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020). Reviewer: Shyam Sundar Chandramouli (New York) MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{J.-P. Aguilar}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020; Zbl 1448.91289) Full Text: DOI arXiv OpenURL
Albani, Vinicius V. L.; Zubelli, Jorge P. A splitting strategy for the calibration of jump-diffusion models. (English) Zbl 1447.91190 Finance Stoch. 24, No. 3, 677-722 (2020). Reviewer: George Stoica (Saint John) MSC: 91G60 65M32 65M06 91G20 60J74 PDF BibTeX XML Cite \textit{V. V. L. Albani} and \textit{J. P. Zubelli}, Finance Stoch. 24, No. 3, 677--722 (2020; Zbl 1447.91190) Full Text: DOI arXiv OpenURL
Hagspiel, Verena; Huisman, Kuno J. M.; Kort, Peter M.; Lavrutich, Maria N.; Nunes, Cláudia; Pimentel, Rita Technology adoption in a declining market. (English) Zbl 1441.91038 Eur. J. Oper. Res. 285, No. 1, 380-392 (2020). MSC: 91B38 90C39 PDF BibTeX XML Cite \textit{V. Hagspiel} et al., Eur. J. Oper. Res. 285, No. 1, 380--392 (2020; Zbl 1441.91038) Full Text: DOI OpenURL
Çetin, Umut Linear inverse problems for Markov processes and their regularisation. (English) Zbl 1444.62110 Stochastic Processes Appl. 130, No. 7, 4062-4080 (2020). MSC: 62M15 62M10 65J20 60J27 60J76 PDF BibTeX XML Cite \textit{U. Çetin}, Stochastic Processes Appl. 130, No. 7, 4062--4080 (2020; Zbl 1444.62110) Full Text: DOI arXiv Link OpenURL
Dareiotis, Konstantinos On finite difference schemes for partial integro-differential equations of Lévy type. (English) Zbl 1429.65181 J. Comput. Appl. Math. 368, Article ID 112587, 12 p. (2020). MSC: 65M06 35R09 45K05 60G51 PDF BibTeX XML Cite \textit{K. Dareiotis}, J. Comput. Appl. Math. 368, Article ID 112587, 12 p. (2020; Zbl 1429.65181) Full Text: DOI arXiv Link OpenURL
Genin, Adrien; Tankov, Peter Optimal importance sampling for Lévy processes. (English) Zbl 1471.91618 Stochastic Processes Appl. 130, No. 1, 20-46 (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 65C05 91G20 60G51 60F10 PDF BibTeX XML Cite \textit{A. Genin} and \textit{P. Tankov}, Stochastic Processes Appl. 130, No. 1, 20--46 (2020; Zbl 1471.91618) Full Text: DOI arXiv OpenURL
Boen, Lynn European rainbow option values under the two-asset Merton jump-diffusion model. (English) Zbl 1429.91316 J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020). MSC: 91G20 60G44 60J76 PDF BibTeX XML Cite \textit{L. Boen}, J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020; Zbl 1429.91316) Full Text: DOI OpenURL
Wan, Justin W. L. Multigrid method for pricing European options under the CGMY process. (English) Zbl 07510027 AIMS Math. 4, No. 6, 1745-1767 (2019). MSC: 65F10 65M55 65-XX 91-XX PDF BibTeX XML Cite \textit{J. W. L. Wan}, AIMS Math. 4, No. 6, 1745--1767 (2019; Zbl 07510027) Full Text: DOI OpenURL
Kazmi, Kamran An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models. (English) Zbl 1481.91220 Int. J. Comput. Math. 96, No. 6, 1137-1157 (2019). MSC: 91G60 65M06 65M12 91G20 60G40 PDF BibTeX XML Cite \textit{K. Kazmi}, Int. J. Comput. Math. 96, No. 6, 1137--1157 (2019; Zbl 1481.91220) Full Text: DOI OpenURL
Cantarutti, Nicola; Guerra, João Multinomial method for option pricing under variance gamma. (English) Zbl 1481.91209 Int. J. Comput. Math. 96, No. 6, 1087-1106 (2019). MSC: 91G20 60G40 45K05 60G51 60G57 60J10 60J22 60H30 PDF BibTeX XML Cite \textit{N. Cantarutti} and \textit{J. Guerra}, Int. J. Comput. Math. 96, No. 6, 1087--1106 (2019; Zbl 1481.91209) Full Text: DOI arXiv OpenURL
Janela, J.; Guerra, J.; Silva, G. Option pricing under a jump-telegraph diffusion model with jumps of random size. (English) Zbl 07474736 Int. J. Comput. Math. 96, No. 11, 2229-2244 (2019). MSC: 60G51 91G60 PDF BibTeX XML Cite \textit{J. Janela} et al., Int. J. Comput. Math. 96, No. 11, 2229--2244 (2019; Zbl 07474736) Full Text: DOI OpenURL
Ibrahim, S. N. I.; Díaz-Hernández, A.; O’Hara, J. G.; Constantinou, N. Pricing holder-extendable call options with mean-reverting stochastic volatility. (English) Zbl 1443.91330 ANZIAM J. 61, No. 4, 382-397 (2019). MSC: 91G60 91G20 65C05 65T50 65M06 PDF BibTeX XML Cite \textit{S. N. I. Ibrahim} et al., ANZIAM J. 61, No. 4, 382--397 (2019; Zbl 1443.91330) Full Text: DOI OpenURL
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino Numerical stability of a hybrid method for pricing options. (English) Zbl 1430.91129 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950036, 46 p. (2019). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{M. Briani} et al., Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950036, 46 p. (2019; Zbl 1430.91129) Full Text: DOI arXiv OpenURL
Lee, Sunju; Lee, Younhee Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients. (English) Zbl 1475.91400 ESAIM, Math. Model. Numer. Anal. 53, No. 5, 1741-1762 (2019). Reviewer: Josep Vives (Barcelona) MSC: 91G60 91G20 60G40 65M06 47G20 PDF BibTeX XML Cite \textit{S. Lee} and \textit{Y. Lee}, ESAIM, Math. Model. Numer. Anal. 53, No. 5, 1741--1762 (2019; Zbl 1475.91400) Full Text: DOI OpenURL
Prabakaran, Sellamuthu Construction of the Black-Scholes PDE with jump-diffusion model. (English) Zbl 1428.35142 Far East J. Math. Sci. (FJMS) 110, No. 1, 131-163 (2019). MSC: 35J99 35R60 60H15 PDF BibTeX XML Cite \textit{S. Prabakaran}, Far East J. Math. Sci. (FJMS) 110, No. 1, 131--163 (2019; Zbl 1428.35142) Full Text: DOI OpenURL
Wang, Wansheng; Chen, Yingzi; Fang, Hua On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance. (English) Zbl 1422.65189 SIAM J. Numer. Anal. 57, No. 3, 1289-1317 (2019). MSC: 65M06 65M55 65L60 91B25 91G60 65J10 65M12 35R09 45K05 65M50 PDF BibTeX XML Cite \textit{W. Wang} et al., SIAM J. Numer. Anal. 57, No. 3, 1289--1317 (2019; Zbl 1422.65189) Full Text: DOI OpenURL
Kudryavtsev, O. E. Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes. (English. Russian original) Zbl 1479.60098 Theory Probab. Appl. 64, No. 2, 186-208 (2019); translation from Teor. Veroyatn. Primen. 64, No. 2, 228-257 (2019). MSC: 60G51 60E07 60H30 PDF BibTeX XML Cite \textit{O. E. Kudryavtsev}, Theory Probab. Appl. 64, No. 2, 186--208 (2019; Zbl 1479.60098); translation from Teor. Veroyatn. Primen. 64, No. 2, 228--257 (2019) Full Text: DOI OpenURL
Gondal, Muhammad Asif; Rehman, Inayatur; Razzaque, Asima Convergence of an exponential Runge-Kutta method for non-smooth initial data. (English) Zbl 1438.65148 Eur. J. Pure Appl. Math. 12, No. 3, 1215-1230 (2019). MSC: 65L06 PDF BibTeX XML Cite \textit{M. A. Gondal} et al., Eur. J. Pure Appl. Math. 12, No. 3, 1215--1230 (2019; Zbl 1438.65148) Full Text: Link OpenURL
Pindza, Edson; Youbi, Francis; Maré, Eben; Davison, Matt Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models. (English) Zbl 1418.91601 Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625-643 (2019). MSC: 91G60 65M70 65R20 41A10 41A20 91G20 PDF BibTeX XML Cite \textit{E. Pindza} et al., Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625--643 (2019; Zbl 1418.91601) Full Text: DOI OpenURL
Rivaz, Azim; Mohseni Moghadam, Mahmoud; Bani Asadi, Samaneh Numerical solutions of Black-Scholes integro-differential equations with convergence analysis. (English) Zbl 1418.65202 Turk. J. Math. 43, No. 3, 1080-1094 (2019). MSC: 65R20 91G60 65C30 PDF BibTeX XML Cite \textit{A. Rivaz} et al., Turk. J. Math. 43, No. 3, 1080--1094 (2019; Zbl 1418.65202) Full Text: DOI OpenURL
Altay, Sühan; Colaneri, Katia; Eksi, Zehra Portfolio optimization for a large investor controlling market sentiment under partial information. (English) Zbl 1417.91431 SIAM J. Financ. Math. 10, No. 2, 512-546 (2019). MSC: 91G10 93E20 60J28 90C40 PDF BibTeX XML Cite \textit{S. Altay} et al., SIAM J. Financ. Math. 10, No. 2, 512--546 (2019; Zbl 1417.91431) Full Text: DOI arXiv OpenURL
Liu, Shican; Zhou, Yanli; Wu, Yonghong; Ge, Xiangyu Option pricing under the jump diffusion and multifactor stochastic processes. (English) Zbl 1411.91573 J. Funct. Spaces 2019, Article ID 9754679, 12 p. (2019). MSC: 91G20 60J75 91G60 PDF BibTeX XML Cite \textit{S. Liu} et al., J. Funct. Spaces 2019, Article ID 9754679, 12 p. (2019; Zbl 1411.91573) Full Text: DOI OpenURL
Annunziato, Mario; Gottschalk, Hanno Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions. (English) Zbl 07394619 Math. Model. Anal. 23, No. 3, 390-413 (2018). MSC: 93E20 49K20 60G51 45K05 PDF BibTeX XML Cite \textit{M. Annunziato} and \textit{H. Gottschalk}, Math. Model. Anal. 23, No. 3, 390--413 (2018; Zbl 07394619) Full Text: DOI arXiv OpenURL
Haghi, Majid; Mollapourasl, Reza; Vanmaele, Michèle An RBF-FD method for pricing American options under jump-diffusion models. (English) Zbl 1442.91100 Comput. Math. Appl. 76, No. 10, 2434-2459 (2018). MSC: 91G20 91G60 65M06 65M12 PDF BibTeX XML Cite \textit{M. Haghi} et al., Comput. Math. Appl. 76, No. 10, 2434--2459 (2018; Zbl 1442.91100) Full Text: DOI OpenURL
Yousuf, M.; Khaliq, Abdul Q. M.; Alrabeei, Salah Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model. (English) Zbl 1415.91322 Comput. Math. Appl. 75, No. 8, 2989-3001 (2018). MSC: 91G60 65M06 91G20 60G40 60J75 65M12 PDF BibTeX XML Cite \textit{M. Yousuf} et al., Comput. Math. Appl. 75, No. 8, 2989--3001 (2018; Zbl 1415.91322) Full Text: DOI OpenURL
Gaß, Maximilian; Glau, Kathrin A flexible Galerkin scheme for option pricing in Lévy models. (English) Zbl 1416.91401 SIAM J. Financ. Math. 9, No. 3, 930-965 (2018). MSC: 91G60 65M60 91G20 60G51 35S10 91-04 PDF BibTeX XML Cite \textit{M. Gaß} and \textit{K. Glau}, SIAM J. Financ. Math. 9, No. 3, 930--965 (2018; Zbl 1416.91401) Full Text: DOI arXiv OpenURL
Horvath, Blanka; Reichmann, Oleg Dirichlet forms and finite element methods for the SABR model. (English) Zbl 1395.91498 SIAM J. Financ. Math. 9, No. 2, 716-754 (2018). MSC: 91G60 65M12 65M60 35K15 91G20 PDF BibTeX XML Cite \textit{B. Horvath} and \textit{O. Reichmann}, SIAM J. Financ. Math. 9, No. 2, 716--754 (2018; Zbl 1395.91498) Full Text: DOI arXiv OpenURL
Patel, Kuldip Singh; Mehra, Mani Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. (English) Zbl 1395.91501 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850027, 26 p. (2018). MSC: 91G60 65M06 65M12 65R20 91G20 PDF BibTeX XML Cite \textit{K. S. Patel} and \textit{M. Mehra}, Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850027, 26 p. (2018; Zbl 1395.91501) Full Text: DOI arXiv OpenURL
in ’t Hout, Karel J.; Toivanen, Jari ADI schemes for valuing European options under the Bates model. (English) Zbl 1390.91327 Appl. Numer. Math. 130, 143-156 (2018). MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{K. J. in 't Hout} and \textit{J. Toivanen}, Appl. Numer. Math. 130, 143--156 (2018; Zbl 1390.91327) Full Text: DOI arXiv Link OpenURL
Mollapourasl, Reza; Fereshtian, Ali; Li, Hengguang; Lu, Xun RBF-PU method for pricing options under the jump-diffusion model with local volatility. (English) Zbl 1457.65148 J. Comput. Appl. Math. 337, 98-118 (2018). MSC: 65M70 65D12 65F50 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{R. Mollapourasl} et al., J. Comput. Appl. Math. 337, 98--118 (2018; Zbl 1457.65148) Full Text: DOI OpenURL
Duo, Siwei; van Wyk, Hans Werner; Zhang, Yanzhi A novel and accurate finite difference method for the fractional Laplacian and the fractional Poisson problem. (English) Zbl 1380.65323 J. Comput. Phys. 355, 233-252 (2018). MSC: 65N06 35R11 35J05 35S05 PDF BibTeX XML Cite \textit{S. Duo} et al., J. Comput. Phys. 355, 233--252 (2018; Zbl 1380.65323) Full Text: DOI OpenURL
Chun-Ho Leung, Nat; Christara, Christina C.; Dang, Duy-Minh Partial differential equation pricing of contingent claims under stochastic correlation. (English) Zbl 1377.91164 SIAM J. Sci. Comput. 40, No. 1, B1-B31 (2018). MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{N. Chun-Ho Leung} et al., SIAM J. Sci. Comput. 40, No. 1, B1--B31 (2018; Zbl 1377.91164) Full Text: DOI OpenURL
Wu, Shulin An efficient parareal algorithm for a class of time-dependent problems with fractional Laplacian. (English) Zbl 1411.65144 Appl. Math. Comput. 307, 329-341 (2017). MSC: 65M99 65Y05 35R11 35Q31 PDF BibTeX XML Cite \textit{S. Wu}, Appl. Math. Comput. 307, 329--341 (2017; Zbl 1411.65144) Full Text: DOI OpenURL
Company, Rafael; Egorova, Vera N.; El Fakharany, Mohamed; Jódar, Lucas; Soleymani, Fazlollah Numerical analysis of novel finite difference methods. (English) Zbl 1420.91504 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 171-214 (2017). MSC: 91G60 65M06 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{R. Company} et al., Math. Ind. 25, 171--214 (2017; Zbl 1420.91504) Full Text: DOI OpenURL
Cantarutti, Nicola; Guerra, João; Guerra, Manuel; do Rosário Grossinho, Maria Indifference pricing in a market with transaction costs and jumps. (English) Zbl 1420.91451 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 31-46 (2017). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{N. Cantarutti} et al., Math. Ind. 25, 31--46 (2017; Zbl 1420.91451) Full Text: DOI OpenURL
Safarov, N.; Atkinson, C. Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes. (English) Zbl 1394.35528 Int. J. Comput. Math. 94, No. 11, 2147-2165 (2017). MSC: 35Q93 35R09 49M25 60G51 65C20 35F21 91B26 PDF BibTeX XML Cite \textit{N. Safarov} and \textit{C. Atkinson}, Int. J. Comput. Math. 94, No. 11, 2147--2165 (2017; Zbl 1394.35528) Full Text: DOI Link OpenURL
Kim, Beom Jin; Ma, Yong-Ki; Choe, Hi Jun Optimal exercise boundary via intermediate function with jump risk. (English) Zbl 1411.91623 Japan J. Ind. Appl. Math. 34, No. 3, 779-792 (2017). MSC: 91G60 91G20 60G40 65M06 60J75 PDF BibTeX XML Cite \textit{B. J. Kim} et al., Japan J. Ind. Appl. Math. 34, No. 3, 779--792 (2017; Zbl 1411.91623) Full Text: DOI OpenURL
Lesmana, Donny Citra; Wang, Song A numerical scheme for pricing American options with transaction costs under a jump diffusion process. (English) Zbl 1422.91768 J. Ind. Manag. Optim. 13, No. 4, 1793-1813 (2017). MSC: 91G60 65K15 65M06 60J75 91G20 60G40 PDF BibTeX XML Cite \textit{D. C. Lesmana} and \textit{S. Wang}, J. Ind. Manag. Optim. 13, No. 4, 1793--1813 (2017; Zbl 1422.91768) Full Text: DOI OpenURL
Rad, Jamal Amani; Parand, Kourosh Pricing American options under jump-diffusion models using local weak form meshless techniques. (English) Zbl 1367.91197 Int. J. Comput. Math. 94, No. 8, 1694-1718 (2017). MSC: 91G60 65M70 35R35 60J75 91G20 60G40 PDF BibTeX XML Cite \textit{J. A. Rad} and \textit{K. Parand}, Int. J. Comput. Math. 94, No. 8, 1694--1718 (2017; Zbl 1367.91197) Full Text: DOI OpenURL
Chen, Wen; Wang, Song A 2nd-order FDM for a 2D fractional Black-Scholes equation. (English) Zbl 1367.91191 Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 46-57 (2017). MSC: 91G60 65M06 65M12 91G20 35R11 35Q91 PDF BibTeX XML Cite \textit{W. Chen} and \textit{S. Wang}, Lect. Notes Comput. Sci. 10187, 46--57 (2017; Zbl 1367.91191) Full Text: DOI OpenURL
Xing, Yu; Yang, Xiaoping Laplace transform approach to option pricing for time-changed Brownian models. (English) Zbl 1366.91163 Commun. Stat., Simulation Comput. 46, No. 3, 2121-2137 (2017). MSC: 91G60 65M06 65T40 91G20 PDF BibTeX XML Cite \textit{Y. Xing} and \textit{X. Yang}, Commun. Stat., Simulation Comput. 46, No. 3, 2121--2137 (2017; Zbl 1366.91163) Full Text: DOI OpenURL
Kadalbajoo, Mohan K.; Tripathi, Lok Pati; Kumar, Alpesh 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. (English) Zbl 1362.65094 SIAM J. Numer. Anal. 55, No. 2, 869-891 (2017). MSC: 65M12 65M60 65K15 91G60 91G20 60G40 PDF BibTeX XML Cite \textit{M. K. Kadalbajoo} et al., SIAM J. Numer. Anal. 55, No. 2, 869--891 (2017; Zbl 1362.65094) Full Text: DOI OpenURL
Safarov, Nemat; Atkinson, Colin Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching. (English) Zbl 1396.91762 Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750004, 38 p. (2017). MSC: 91G20 60G51 91G60 PDF BibTeX XML Cite \textit{N. Safarov} and \textit{C. Atkinson}, Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750004, 38 p. (2017; Zbl 1396.91762) Full Text: DOI arXiv OpenURL
Amani Rad, Jamal; Parand, Kourosh Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method. (English) Zbl 1406.91483 Appl. Numer. Math. 115, 252-274 (2017). MSC: 91G60 65M60 91G20 60G40 PDF BibTeX XML Cite \textit{J. Amani Rad} and \textit{K. Parand}, Appl. Numer. Math. 115, 252--274 (2017; Zbl 1406.91483) Full Text: DOI arXiv OpenURL
Wang, Wansheng; Chen, Yingzi Fast numerical valuation of options with jump under Merton’s model. (English) Zbl 1355.91083 J. Comput. Appl. Math. 318, 79-92 (2017). MSC: 91G60 65M06 65M55 65L60 91G20 PDF BibTeX XML Cite \textit{W. Wang} and \textit{Y. Chen}, J. Comput. Appl. Math. 318, 79--92 (2017; Zbl 1355.91083) Full Text: DOI OpenURL
Dang, Duy-Minh; Nguyen, Duy; Sewell, Granville Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199 Comput. Math. Appl. 71, No. 1, 443-458 (2016). MSC: 65M60 45K05 91G20 91G60 PDF BibTeX XML Cite \textit{D.-M. Dang} et al., Comput. Math. Appl. 71, No. 1, 443--458 (2016; Zbl 1443.65199) Full Text: DOI OpenURL
Ménassé, Clément; Tankov, Peter Approximate indifference pricing in exponential Lévy models. (English) Zbl 1396.91752 Appl. Math. Finance 23, No. 3-4, 197-235 (2016). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{C. Ménassé} and \textit{P. Tankov}, Appl. Math. Finance 23, No. 3--4, 197--235 (2016; Zbl 1396.91752) Full Text: DOI arXiv OpenURL
Wu, Shu-Lin A second-order parareal algorithm for fractional PDEs. (English) Zbl 1352.65276 J. Comput. Phys. 307, 280-290 (2016). MSC: 65M06 65Y05 35R11 PDF BibTeX XML Cite \textit{S.-L. Wu}, J. Comput. Phys. 307, 280--290 (2016; Zbl 1352.65276) Full Text: DOI OpenURL
Kudryavtsev, Oleg Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models. (English) Zbl 1351.60058 Bol. Soc. Mat. Mex., III. Ser. 22, No. 2, 711-731 (2016). MSC: 60G51 60J75 62P05 65C20 91G20 91G60 47A68 42A85 PDF BibTeX XML Cite \textit{O. Kudryavtsev}, Bol. Soc. Mat. Mex., III. Ser. 22, No. 2, 711--731 (2016; Zbl 1351.60058) Full Text: DOI OpenURL
Glau, Kathrin A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. (English) Zbl 1355.60060 Finance Stoch. 20, No. 4, 1021-1059 (2016). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60H30 35R09 35S10 47G30 47G20 65M60 65M06 91G80 91G60 PDF BibTeX XML Cite \textit{K. Glau}, Finance Stoch. 20, No. 4, 1021--1059 (2016; Zbl 1355.60060) Full Text: DOI arXiv OpenURL
Dareiotis, Konstantinos; Leahy, James-Michael Finite difference schemes for linear stochastic integro-differential equations. (English) Zbl 1375.60111 Stochastic Processes Appl. 126, No. 10, 3202-3234 (2016). MSC: 60H20 60H10 60H35 60G51 65M06 60J75 PDF BibTeX XML Cite \textit{K. Dareiotis} and \textit{J.-M. Leahy}, Stochastic Processes Appl. 126, No. 10, 3202--3234 (2016; Zbl 1375.60111) Full Text: DOI arXiv OpenURL
Li, Lingfei; Zhang, Gongqiu Option pricing in some non-Lévy jump models. (English) Zbl 1345.60096 SIAM J. Sci. Comput. 38, No. 4, B539-B569 (2016). MSC: 60J75 60J60 60H30 60H10 60G51 60H35 91G20 91G80 91G60 65C30 PDF BibTeX XML Cite \textit{L. Li} and \textit{G. Zhang}, SIAM J. Sci. Comput. 38, No. 4, B539--B569 (2016; Zbl 1345.60096) Full Text: DOI OpenURL
Azimzadeh, P.; Forsyth, P. A. Weakly chained matrices, policy iteration, and impulse control. (English) Zbl 1338.65174 SIAM J. Numer. Anal. 54, No. 3, 1341-1364 (2016). MSC: 65K15 49J40 35F21 49J55 49M25 PDF BibTeX XML Cite \textit{P. Azimzadeh} and \textit{P. A. Forsyth}, SIAM J. Numer. Anal. 54, No. 3, 1341--1364 (2016; Zbl 1338.65174) Full Text: DOI arXiv OpenURL
Chandra, Sudip Ratan; Mukherjee, Diganta Barrier option under Lévy model: a PIDE and Mellin transform approach. (English) Zbl 1386.91135 Mathematics 4, No. 1, Paper No. 2, 18 p. (2016). MSC: 91G20 60G51 91G60 PDF BibTeX XML Cite \textit{S. R. Chandra} and \textit{D. Mukherjee}, Mathematics 4, No. 1, Paper No. 2, 18 p. (2016; Zbl 1386.91135) Full Text: DOI OpenURL
Coclite, G. M.; Reichmann, O.; Risebro, N. H. A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty. (English) Zbl 1336.35348 SIAM J. Numer. Anal. 54, No. 2, 588-605 (2016). Reviewer: Narahari Parhi (Bhubaneswar) MSC: 35R09 35R11 35D40 PDF BibTeX XML Cite \textit{G. M. Coclite} et al., SIAM J. Numer. Anal. 54, No. 2, 588--605 (2016; Zbl 1336.35348) Full Text: DOI OpenURL
Rambeerich, Nisha; Pantelous, Athanasios A. A high order finite element scheme for pricing options under regime switching jump diffusion processes. (English) Zbl 1331.91194 J. Comput. Appl. Math. 300, 83-96 (2016). MSC: 91G60 65M60 60J75 65C40 91G20 PDF BibTeX XML Cite \textit{N. Rambeerich} and \textit{A. A. Pantelous}, J. Comput. Appl. Math. 300, 83--96 (2016; Zbl 1331.91194) Full Text: DOI OpenURL
Fakharany, M.; Company, R.; Jódar, L. Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes. (English) Zbl 1342.91041 J. Comput. Appl. Math. 296, 739-752 (2016). MSC: 91G60 65M06 45K05 91G20 PDF BibTeX XML Cite \textit{M. Fakharany} et al., J. Comput. Appl. Math. 296, 739--752 (2016; Zbl 1342.91041) Full Text: DOI OpenURL
Fakharany, M.; Company, R.; Jódar, L. Unconditional positive stable numerical solution of partial integrodifferential option pricing problems. (English) Zbl 1435.91197 J. Appl. Math. 2015, Article ID 960728, 10 p. (2015). MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{M. Fakharany} et al., J. Appl. Math. 2015, Article ID 960728, 10 p. (2015; Zbl 1435.91197) Full Text: DOI OpenURL
von Sydow, L.; Toivanen, J.; Zhang, C. Adaptive finite differences and IMEX time-stepping to price options under Bates model. (English) Zbl 1386.91170 Int. J. Comput. Math. 92, No. 12, 2515-2529 (2015). MSC: 91G60 65M06 91G20 PDF BibTeX XML Cite \textit{L. von Sydow} et al., Int. J. Comput. Math. 92, No. 12, 2515--2529 (2015; Zbl 1386.91170) Full Text: DOI Link OpenURL
Ahmadian, D.; Ballestra, L. V. A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion. (English) Zbl 1335.91098 Int. J. Comput. Math. 92, No. 11, 2310-2328 (2015). MSC: 91G60 65M60 65N06 65M12 35K20 35Q91 91G20 PDF BibTeX XML Cite \textit{D. Ahmadian} and \textit{L. V. Ballestra}, Int. J. Comput. Math. 92, No. 11, 2310--2328 (2015; Zbl 1335.91098) Full Text: DOI OpenURL
Frerick, Leonhard; Sachs, Ekkehard W.; Zimmer, Lukas A. Necessary optimality conditions for the control of partial integro-differential equations. (English) Zbl 1336.49029 Al-Baali, Mehiddin (ed.) et al., Numerical analysis and optimization. Selected papers based on the presentations at the 3rd international conference, NAO-III, Muscat, Oman, January 5–9, 2014. Cham: Springer (ISBN 978-3-319-17688-8/hbk; 978-3-319-17689-5/ebook). Springer Proceedings in Mathematics & Statistics 134, 77-94 (2015). MSC: 49K20 49K27 92C37 49N90 PDF BibTeX XML Cite \textit{L. Frerick} et al., Springer Proc. Math. Stat. 134, 77--94 (2015; Zbl 1336.49029) Full Text: DOI OpenURL
Kadalbajoo, Mohan K.; Tripathi, Lok Pati; Kumar, Alpesh Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models. (English) Zbl 1331.91191 J. Sci. Comput. 65, No. 3, 979-1024 (2015). MSC: 91G60 65M06 65M70 91G20 PDF BibTeX XML Cite \textit{M. K. Kadalbajoo} et al., J. Sci. Comput. 65, No. 3, 979--1024 (2015; Zbl 1331.91191) Full Text: DOI OpenURL
Zhou, Shengwu; Han, Lei; Li, Wei; Zhang, Yan; Han, Miao A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process. (English) Zbl 1351.91024 Comput. Appl. Math. 34, No. 3, 881-900 (2015). MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{S. Zhou} et al., Comput. Appl. Math. 34, No. 3, 881--900 (2015; Zbl 1351.91024) Full Text: DOI OpenURL
Leung, Tim; Wan, Haohua ESO valuation with job termination risk and jumps in stock price. (English) Zbl 1333.60082 SIAM J. Financ. Math. 6, 487-516 (2015). MSC: 60G40 60G51 49J40 62L15 91G20 91G80 PDF BibTeX XML Cite \textit{T. Leung} and \textit{H. Wan}, SIAM J. Financ. Math. 6, 487--516 (2015; Zbl 1333.60082) Full Text: DOI arXiv OpenURL
Mikulevičius, Remigijus; Zhang, Changyong Weak Euler approximation for Itô diffusion and jump processes. (English) Zbl 1317.60100 Stochastic Anal. Appl. 33, No. 3, 549-571 (2015). MSC: 60J60 60J75 60H10 60H30 60G52 35S10 PDF BibTeX XML Cite \textit{R. Mikulevičius} and \textit{C. Zhang}, Stochastic Anal. Appl. 33, No. 3, 549--571 (2015; Zbl 1317.60100) Full Text: DOI arXiv OpenURL
Chen, Wen; Wang, Song A finite difference method for pricing European and American options under a geometric Lévy process. (English) Zbl 1305.91239 J. Ind. Manag. Optim. 11, No. 1, 241-264 (2015). MSC: 91G60 91G20 65M06 65K15 60G51 PDF BibTeX XML Cite \textit{W. Chen} and \textit{S. Wang}, J. Ind. Manag. Optim. 11, No. 1, 241--264 (2015; Zbl 1305.91239) Full Text: DOI OpenURL
Eberlein, Ernst; Glau, Kathrin Variational solutions of the pricing PIDEs for European options in Lévy models. (English) Zbl 1395.91497 Appl. Math. Finance 21, No. 5-6, 417-450 (2014). MSC: 91G60 65M60 91G20 60G51 PDF BibTeX XML Cite \textit{E. Eberlein} and \textit{K. Glau}, Appl. Math. Finance 21, No. 5--6, 417--450 (2014; Zbl 1395.91497) Full Text: DOI OpenURL
Brummelhuis, Raymond; Chan, Ron T. L. A radial basis function scheme for option pricing in exponential Lévy models. (English) Zbl 1395.91433 Appl. Math. Finance 21, No. 3-4, 238-269 (2014). MSC: 91G20 60G51 35Q91 60G40 PDF BibTeX XML Cite \textit{R. Brummelhuis} and \textit{R. T. L. Chan}, Appl. Math. Finance 21, No. 3--4, 238--269 (2014; Zbl 1395.91433) Full Text: DOI OpenURL
Lee, Younhee Financial options pricing with regime-switching jump-diffusions. (English) Zbl 1369.91192 Comput. Math. Appl. 68, No. 3, 392-404 (2014). MSC: 91G60 65M06 91G20 PDF BibTeX XML Cite \textit{Y. Lee}, Comput. Math. Appl. 68, No. 3, 392--404 (2014; Zbl 1369.91192) Full Text: DOI OpenURL
Jennings, G. I.; Prigge, D.; Carney, S.; Karni, S.; Rauch, J. B.; Abgrall, R. Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs. (English) Zbl 1349.76343 J. Comput. Phys. 275, 443-458 (2014). MSC: 76M12 65M08 35R11 76B15 76D33 PDF BibTeX XML Cite \textit{G. I. Jennings} et al., J. Comput. Phys. 275, 443--458 (2014; Zbl 1349.76343) Full Text: DOI OpenURL
Bhowmik, Samir Kumar Fast and efficient numerical methods for an extended Black-Scholes model. (English) Zbl 1386.91158 Comput. Math. Appl. 67, No. 3, 636-654 (2014). MSC: 91G60 65R20 65F08 65F10 65M06 91G20 PDF BibTeX XML Cite \textit{S. K. Bhowmik}, Comput. Math. Appl. 67, No. 3, 636--654 (2014; Zbl 1386.91158) Full Text: DOI arXiv OpenURL
Florescu, Ionuţ; Mariani, Maria Cristina; Sewell, Granville Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market. (English) Zbl 1402.91890 Quant. Finance 14, No. 8, 1445-1452 (2014). MSC: 91G60 65M60 65R20 91G20 60J75 35R09 PDF BibTeX XML Cite \textit{I. Florescu} et al., Quant. Finance 14, No. 8, 1445--1452 (2014; Zbl 1402.91890) Full Text: DOI OpenURL
Chan, Ron Tat Lung; Hubbert, Simon Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (English) Zbl 1303.91189 Rev. Deriv. Res. 17, No. 2, 161-189 (2014). MSC: 91G60 91G20 60J75 65D05 PDF BibTeX XML Cite \textit{R. T. L. Chan} and \textit{S. Hubbert}, Rev. Deriv. Res. 17, No. 2, 161--189 (2014; Zbl 1303.91189) Full Text: DOI Link OpenURL
Kiessling, Jonas; Tempone, Raúl Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models. (English) Zbl 1310.65168 BIT 54, No. 4, 1023-1065 (2014). Reviewer: Ivan Secrieru (Chişinău) MSC: 65R20 45K05 91B24 91G60 PDF BibTeX XML Cite \textit{J. Kiessling} and \textit{R. Tempone}, BIT 54, No. 4, 1023--1065 (2014; Zbl 1310.65168) Full Text: DOI OpenURL
Liu, Jun; Sun, Hai-Wei A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes. (English) Zbl 1299.91170 Int. J. Comput. Math. 91, No. 10, 2163-2184 (2014). MSC: 91G60 91G20 65T50 60J75 65M06 65M55 65M60 65F10 PDF BibTeX XML Cite \textit{J. Liu} and \textit{H.-W. Sun}, Int. J. Comput. Math. 91, No. 10, 2163--2184 (2014; Zbl 1299.91170) Full Text: DOI OpenURL
Babbin, J.; Forsyth, P. A.; Labahn, G. A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. (English) Zbl 1306.60039 J. Sci. Comput. 58, No. 2, 409-430 (2014). Reviewer: Pavel Gapeev (London) MSC: 60G40 91G20 91G80 65N06 65K15 PDF BibTeX XML Cite \textit{J. Babbin} et al., J. Sci. Comput. 58, No. 2, 409--430 (2014; Zbl 1306.60039) Full Text: DOI OpenURL
Pindza, E.; Patidar, K. C.; Ngounda, E. Robust spectral method for numerical valuation of European options under Merton’s jump-diffusion model. (English) Zbl 1294.91191 Numer. Methods Partial Differ. Equations 30, No. 4, 1169-1188 (2014). MSC: 91G60 91G20 45K05 60J75 65M70 65L05 PDF BibTeX XML Cite \textit{E. Pindza} et al., Numer. Methods Partial Differ. Equations 30, No. 4, 1169--1188 (2014; Zbl 1294.91191) Full Text: DOI OpenURL
Salmi, Santtu; Toivanen, Jari IMEX schemes for pricing options under jump-diffusion models. (English) Zbl 1291.91234 Appl. Numer. Math. 84, 33-45 (2014). MSC: 91G60 91G20 60J75 65C30 PDF BibTeX XML Cite \textit{S. Salmi} and \textit{J. Toivanen}, Appl. Numer. Math. 84, 33--45 (2014; Zbl 1291.91234) Full Text: DOI OpenURL
Jakubowski, Jacek; Niewęgłowski, Mariusz Jump-diffusion processes in random environments. (English) Zbl 1301.60081 J. Differ. Equations 257, No. 7, 2671-2703 (2014). Reviewer: Toader Morozan (Bucureşti) MSC: 60H20 60H30 60J65 60G55 60G50 PDF BibTeX XML Cite \textit{J. Jakubowski} and \textit{M. Niewęgłowski}, J. Differ. Equations 257, No. 7, 2671--2703 (2014; Zbl 1301.60081) Full Text: DOI arXiv OpenURL
Kudryavtsev, Oleg Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach. (English) Zbl 1328.91285 Sci. World J., Probab. Stat. 2013, Article ID 963625, 12 p. (2013). MSC: 91G60 91G20 65M06 60G55 PDF BibTeX XML Cite \textit{O. Kudryavtsev}, Sci. World J., Probab. Stat. 2013, Article ID 963625, 12 p. (2013; Zbl 1328.91285) Full Text: DOI OpenURL
Company, R.; Jódar, L.; Fakharany, M. Positive solutions of European option pricing with CGMY process models using double discretization difference schemes. (English) Zbl 1291.91231 Abstr. Appl. Anal. 2013, Article ID 517480, 11 p. (2013). MSC: 91G60 91G20 35R09 65M06 PDF BibTeX XML Cite \textit{R. Company} et al., Abstr. Appl. Anal. 2013, Article ID 517480, 11 p. (2013; Zbl 1291.91231) Full Text: DOI OpenURL
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville Numerical schemes for option pricing in regime-switching jump diffusion models. (English) Zbl 1290.91180 Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350046, 25 p. (2013). MSC: 91G60 91G20 60J75 65M70 45K05 PDF BibTeX XML Cite \textit{I. Florescu} et al., Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350046, 25 p. (2013; Zbl 1290.91180) Full Text: DOI OpenURL