Partial integro-differential equation (PIDE) formulations are often preferable for pricing
options under models with stochastic volatility and jumps, especially for American-style …

This paper considers the numerical pricing of European, American and Butterfly options
whose asset price dynamics follow the regime switching jump diffusion process. In an …

Radial basis functions based finite difference schemes for the solution of partial differential
equations have the advantage that an optimal choice of the shape parameter can yield …

Empirically, cointegration and stochastic covariances, including stochastic volatilities, are
statistically significant for commodity prices and energy products. To capture such market …

This paper focuses on pricing American put options under the double Heston model
proposed by Christoffersen et al. By introducing an explicit exercise rule, we obtain the …

In this paper, we develop a fast and accurate numerical method for pricing of the three-asset
equity-linked securities options. The option pricing model is based on the Black–Scholes …

We propose an accurate, efficient, and robust hybrid finite difference method, with a Monte
Carlo boundary condition, for solving the Black–Scholes equations. The proposed method …

Abstract The Finite Element Method (FEM) has been used in the broad field of continuum
mechanics in engineering disciplines for several decades. However, recently, some …

In this paper, we propose the spectral element method to price European, digital, butterfly,
American, discrete and continuous barrier options in a Markovian jump-diffusion regime …

In this paper we introduce a new fast and accurate numerical method for pricing exotic
derivatives when discrete monitoring occurs, and the underlying evolves according to a …