Kadalbajoo, M.K., Kumar, A. and Tripathi, L.P. (2016) A Radial Basis Function Based Implicit-Explicit Method for Option Pricing under Jump-Diffusion Models. Applied Numerical Mathematics, 110, 159-173.
https://doi.org/10.1016/j.apnum.2016.08.006

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.