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Pricing options in jump-diffusion models: An extrapolation approach
Liming Feng
*
,
Vadim Linetsky
*
Corresponding author for this work
Industrial Engineering and Management Sciences
Research output
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Article
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peer-review
130
Scopus citations
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Dive into the research topics of 'Pricing options in jump-diffusion models: An extrapolation approach'. Together they form a unique fingerprint.
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Keyphrases
Extrapolation Method
100%
Implicit-explicit Methods
100%
Pricing Options
100%
Jump-diffusion Process
100%
Partial Integro-differential Equation
80%
Explicit Euler Method
60%
First-order
40%
Time Discretization Scheme
40%
Midpoint Scheme
40%
Diffusion Term
40%
Two Dimensional
20%
Computational Methods
20%
Computational Efficiency
20%
Financial Engineering
20%
Popular
20%
Volatility
20%
Take-the-first
20%
Equation Solver
20%
Singleton
20%
Modeller
20%
Value Function
20%
Option Value
20%
Merton
20%
Second-order Accuracy
20%
Barrier Options
20%
Stock Prices
20%
Equation-based
20%
Double Barrier Option
20%
European Options
20%
Differential Diffusion
20%
Bermudan Option
20%
ODE Solution
20%
Variance gamma
20%
High Order Time Discretization
20%
Implicit Time Discretization
20%
Mathematics
Option Pricing
100%
Integrodifferential Equation
100%
Diffusion Model
100%
Time Step
75%
Euler Scheme
75%
Time Discretization
50%
Barrier Option
50%
Function Value
25%
Ordinary Differential Equation
25%
Variance
25%
Engineering
Diffusion Model
100%
Euler Scheme
75%
Discretization Scheme
50%
Diffusion Term
50%
Two Dimensional
25%
Computational Efficiency
25%
Value Function
25%
Engineering
25%
Singletons
25%
Economics, Econometrics and Finance
Option Trading
100%
Pricing
100%
Volatility
33%
Financial Engineering
33%
Stock Price
33%
Option Value
33%