An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
ESAIM: M2AN, 55 3 (2021) 913-938
Published online: 2021-05-05
Articles citing this article
The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).
Cited article:
This article has been cited by the following article(s):
Implicit–explicit high-order methods for pricing options under Merton’s jump-diffusion models
Yingzi Chen and Wansheng WangJournal of Applied Mathematics and Computing (2025)
https://doi.org/10.1007/s12190-025-02424-0
Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
Mengli Mao, Wansheng Wang, Tianhai Tian and Lehan WangJournal of Computational and Applied Mathematics 460 116407 (2025)
https://doi.org/10.1016/j.cam.2024.116407
High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
Wansheng Wang, Mengli Mao, Xiao Jiang and Lehan WangESAIM: Mathematical Modelling and Numerical Analysis 59 (2) 643 (2025)
https://doi.org/10.1051/m2an/2025003
Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
Deepak Kumar Yadav, Akanksha Bhardwaj and Alpesh KumarComputational and Applied Mathematics 43 (1) (2024)
https://doi.org/10.1007/s40314-023-02510-8
Efficient pricing of options in jump–diffusion models: Novel implicit–explicit methods for numerical valuation
Vikas Maurya, Ankit Singh, Vivek S. Yadav and Manoj K. RajpootMathematics and Computers in Simulation 217 202 (2024)
https://doi.org/10.1016/j.matcom.2023.10.025
Nonsmooth data error estimates for fully discrete finite element approximations of semilinear parabolic equations in Banach space
Wansheng Wang, Jinping Li and Chengyu JinJournal of Computational and Applied Mathematics 448 115939 (2024)
https://doi.org/10.1016/j.cam.2024.115939
High-order accurate variable time step compact schemes for pricing vanilla and exotic options
Pradeep Kumar Sahu and Kuldip Singh PatelJournal of Applied Mathematics and Computing 70 (5) 4021 (2024)
https://doi.org/10.1007/s12190-024-02118-z
Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
Yong ChenComputers & Mathematics with Applications 161 63 (2024)
https://doi.org/10.1016/j.camwa.2024.02.040
Fast and Accurate Computation of the Regime-Switching Jump-Diffusion Option Prices Using Laplace Transform and Compact Difference with Convergence Guarantee
Yong ChenComputational Economics 64 (1) 57 (2024)
https://doi.org/10.1007/s10614-023-10426-y
A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
Mengli Mao, Hongjiong Tian and Wansheng WangMathematical Methods in the Applied Sciences 47 (2) 762 (2024)
https://doi.org/10.1002/mma.9682
A Posteriori Error Control and Adaptivity for the IMEX BDF2 Method for PIDEs with Application to Options Pricing Models
Wansheng Wang, Mengli Mao and Yi HuangJournal of Scientific Computing 93 (2) (2022)
https://doi.org/10.1007/s10915-022-02013-4