Robust numerical methods for contingent claims under jump diffusion processes

By Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal. 2005

291 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f5a63cb8e09221154eec1c756057188302a0d575

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Citations in the corpus

Robust numerical valuation of European and American options under the CGMY process (2007, methodology): “This technique requires only a matrix-vector multiply, which can be conveniently carried out using an FFT [13, 14, 12, 21].”
Calibration and hedging under jump diffusion (2007, methodology): “The expectations are first transformed to correlation integrals and the Fast Fourier Transform is used to compute these integrals in an efficient manner [17].”
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007, background): “In the following, we will not require that the discrete equations be a continuous function of the control, to allow for the case described in [49].”
Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “There are fast methods which, under certain conditions, can be used to carry out Equation 4.8 (see [ 15 ]).”
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines (2009, unknown): “1”
Pricing methods and hedging strategies for volatility derivatives (2006, methodology): “For a description of the computational methods used to solve this PIDE the reader is referred to [9].”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, unknown): “, [4], [10], [36], [32], [120], [60], [79], so, if this was the only case one is interested in, it would not be worthwhile adding yet another method to this set.”
Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, methodology): “(g) A numerical procedure called “implied binomial trees”; see, for example, Derman and Kani (1994) and Dupire (1994).”
Maximum likelihood estimation of the double exponential jump-diffusion process (2007, methodology): “Under Kou’s (2002) DEJD specification, a single Poisson process with fixed intensity generates the jumps in prices, but the jump magnitudes are drawn from two independent exponential distributions.”
The effect of modelling parameters on the value of GMWB guarantees (2008, methodology): “Previous work on GMWBs following this approach includes Milevsky and Salisbury (2006), Dai et al.”
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes (2007, methodology): “However, the overhead for the method is large, and D'Halluin et al. (2005b) report that their preliminary tests pricing options in jump diffusion problems indicate the method does not perform as well as the Fast Fourier Transform for reasonable tolerance levels.”