Fast exponential time integration scheme for option pricing with jumps

2010 ◽  
Vol 19 (1) ◽  
pp. 87-101 ◽  
Author(s):  
Spike T. Lee ◽  
Xin Liu ◽  
Hai-Wei Sun
Keyword(s):  
Option Pricing ◽  
Time Integration ◽  
Integration Scheme ◽  
Exponential Time ◽  
Time Integration Scheme ◽  
Exponential Time Integration

scholarly journals Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation

2012 ◽  
Vol 2012 ◽  
pp. 1-12 ◽  
Author(s):  
Zhongdi Cen ◽  
Anbo Le ◽  
Aimin Xu
Keyword(s):  
Difference Scheme ◽  
Time Integration ◽  
Second Order ◽  
Integration Scheme ◽  
Uniform Mesh ◽  
Central Difference ◽  
Exponential Time ◽  
Black Scholes ◽  
Time Integration Scheme ◽  
Exponential Time Integration

We apply an exponential time integration scheme combined with a central difference scheme on a piecewise uniform mesh with respect to the spatial variable to evaluate a generalized Black-Scholes equation. We show that the scheme is second-order convergent for both time and spatial variables. It is proved that the scheme is unconditionally stable. Numerical results support the theoretical results.

Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models

2014 ◽  
Vol 4 (1) ◽  
pp. 52-68 ◽  
Author(s):  
Hong-Kui Pang ◽  
Hai-Wei Sun
Keyword(s):  
Stochastic Volatility ◽  
Temporal Integration ◽  
Time Integration ◽  
Computational Cost ◽  
Jump Diffusion ◽  
Integration Scheme ◽  
Arnoldi Method ◽  
Exponential Time ◽  
Jump Diffusion Model ◽  
Exponential Time Integration

AbstractThe stochastic volatility jump diffusion model with jumps in both return and volatility leads to a two-dimensional partial integro-differential equation (PIDE). We exploit a fast exponential time integration scheme to solve this PIDE. After spatial discretization and temporal integration, the solution of the PIDE can be formulated as the action of an exponential of a block Toeplitz matrix on a vector. The shift-invert Arnoldi method is employed to approximate this product. To reduce the computational cost, matrix splitting is combined with the multigrid method to deal with the shift-invert matrix-vector product in each inner iteration. Numerical results show that our proposed scheme is more robust and efficient than the existing high accurate implicit-explicit Euler-based extrapolation scheme.

scholarly journals Structural Reliability Sensitivities under Nonstationary Random Vibrations

2013 ◽  
Vol 2013 ◽  
pp. 1-21 ◽  
Author(s):  
Rita Greco ◽  
Francesco Trentadue
Keyword(s):  
Structural Reliability ◽  
Structural Parameters ◽  
Time Integration ◽  
Structural Response ◽  
Integration Scheme ◽  
Structural Systems ◽  
Frame Building ◽  
Time Integration Scheme ◽  
Noise Input ◽  
The Time Domain

Response sensitivity evaluation is an important element in reliability evaluation and design optimization of structural systems. It has been widely studied under static and dynamic forcing conditions with deterministic input data. In this paper, structural response and reliability sensitivities are determined by means of the time domain covariance analysis in both classically and nonclassically damped linear structural systems. A time integration scheme is proposed for covariance sensitivity. A modulated, filtered, white noise input process is adopted to model the stochastic nonstationary loads. The method allows for the evaluation of sensitivity statistics of different quantities of dynamic response with respect to structural parameters. Finally, numerical examples are presented regarding a multistorey shear frame building.

scholarly journals A new energy–momentum time integration scheme for non-linear thermo-mechanics

2020 ◽  
Vol 372 ◽  
pp. 113395 ◽  
Author(s):  
R. Ortigosa ◽  
A.J. Gil ◽  
J. Martínez-Frutos ◽  
M. Franke ◽  
J. Bonet
Keyword(s):  
Time Integration ◽  
Integration Scheme ◽  
Non Linear ◽  
New Energy ◽  
Time Integration Scheme

New insights into the β1/β2-Bathe time integration scheme when L-stable

2021 ◽  
Vol 245 ◽  
pp. 106433
Author(s):  
Mohammad Mahdi Malakiyeh ◽  
Saeed Shojaee ◽  
Saleh Hamzehei-Javaran ◽  
Klaus-Jürgen Bathe
Keyword(s):  
Time Integration ◽  
Integration Scheme ◽  
Time Integration Scheme

Energy‐momentum consistent time integration scheme for non‐linear electro‐elastodynamics

PAMM ◽  
2018 ◽  
Vol 18 (1) ◽  
Author(s):  
Alexander Janz ◽  
Peter Betsch ◽  
Marlon Franke ◽  
Rogelio Ortigosa
Keyword(s):  
Time Integration ◽  
Integration Scheme ◽  
Non Linear ◽  
Time Integration Scheme
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