Article citationsMore>>

Andersen, L. and Andreasen, J. (2000) Jump Diffusion Process: Volatility Smile Fitting and Numerical Methods for Option Pricing. Review of Derivatives Research, 4, 231-262.
https://doi.org/10.1023/A:1011354913068

has been cited by the following article:

• TITLE: Application of Fast N-Body Algorithm to Option Pricing under CGMY Model

  AUTHORS: Takayuki Sakuma

  KEYWORDS: Jump-Diffusion Model, CGMY Model, Option Pricing, Cartesian Treecode

  JOURNAL NAME: Journal of Mathematical Finance, Vol.7 No.2, May 19, 2017

  ABSTRACT: The N-body problem is an active research topic in physics for which there are two major algorithms for efficient computation, the fast multipole method and treecode, but these algorithms are not popular in financial engineering. In this article, we apply a fast N-body algorithm called the Cartesian treecode to the computation of the integral operator of integro-partial differential equations to compute option prices under the CGMY model, a generalization of a jump-diffusion model. We present numerical examples to illustrate the accuracy and effectiveness of the method and thereby demonstrate its suitability for application in financial engineering.