Parallel option pricing with Fourier space time-stepping method on graphics processing units

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Engineering, Computer Engineering, Computer Science +15

Option valuation using the fast Fourier transform

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Business, Economics, Finance +17

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

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Business, Economics, Finance +17

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Rama Cont, Ekaterina Voltchkova · SIAM Journal on Numerical Analysis · 2005 · 433 citations

Engineering, Finance, Mathematics +17

A penalty method for American options with jump diffusion processes

Y. d’Halluin, Peter Forsyth, George Labahn · Numerische Mathematik · 2004 · 204 citations

Business, Finance, Financial Economics +14