Kwon, Y. and Lee, Y. (2011) A Second-Order Finite Difference Method for Option Pricing under Jump-Diffusion Models. SIAM Journal on Numerical Analysis, 49, 2598-2617.
https://doi.org/10.1137/090777529

has been cited by the following article:

• TITLE: An Implicit-Explicit Computational Method Based on Time Semi-Discretization for Pricing Financial Derivatives with Jumps

  AUTHORS: Yang Wang

  KEYWORDS: SVJ Model of Bates, Time Semi-Discretization, Stability, No-Arbitrage Principle, Implicit-Explicit Backward Difference Method

  JOURNAL NAME: Open Journal of Statistics, Vol.8 No.2, April 24, 2018

  ABSTRACT: This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that the value of any European contingent claim should satisfy, where the asset price obeys the SVJ model. This equation is numerically solved by using the implicit- explicit backward difference method and time semi-discretization. In order to explain the validity of our method, the stability of time semi-discretization scheme is also proved. Finally, we use a simulation example to illustrate the efficiency of the method.