A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Author | : Santtu Salmi |
Publisher | : |
Total Pages | : 24 |
Release | : 2014 |
ISBN-10 | : OCLC:1308957476 |
ISBN-13 | : |
Rating | : 4/5 (76 Downloads) |
Download or read book A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models written by Santtu Salmi and published by . This book was released on 2014 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.