Jari Toivanen

University of Jyväskylä - Department of Mathematical Information Technology

P.O. Box 35 (Agora)

Jyvaskyla, 40014

Finland

Stanford University

Stanford, CA 94305

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models

Number of pages: 24 Posted: 04 Mar 2012
Santtu Salmi and Jari Toivanen
University of Jyväskylä - Department of Mathematical Information Technology and University of Jyväskylä - Department of Mathematical Information Technology
Downloads 342 (104,891)
Citation 1

Abstract:

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jump-diffusion model, American option, linear complementarity problem, finite difference method, iterative method

2.

A Projected Algebraic Multigrid Method for Linear Complementarity Problems

Number of pages: 18 Posted: 14 Jan 2011 Last Revised: 06 Apr 2011
Jari Toivanen and Cornelis W. Oosterlee
University of Jyväskylä - Department of Mathematical Information Technology and Center for Mathematics and Computer Science (CWI)
Downloads 265 (137,781)
Citation 1

Abstract:

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linear complementarity problem, obstacle problem, iterative method, multigrid method, black-box method, American option

3.

An Iterative Method for Pricing American Options Under Jump-Diffusion Models

Number of pages: 17 Posted: 27 Jan 2011
Santtu Salmi and Jari Toivanen
University of Jyväskylä - Department of Mathematical Information Technology and University of Jyväskylä - Department of Mathematical Information Technology
Downloads 259 (141,024)

Abstract:

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American Option, Jump-Diffusion Model, Finite Difference Method, Linear Complementarity Problem, Iterative Method

4.

Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models

Number of pages: 18 Posted: 11 Apr 2013
Santtu Salmi and Jari Toivanen
University of Jyväskylä - Department of Mathematical Information Technology and University of Jyväskylä - Department of Mathematical Information Technology
Downloads 227 (160,339)

Abstract:

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Implicit-explicit methods, Linear multistep methods, Jump-diffusion model, Option pricing, Stability