{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,28]],"date-time":"2026-04-28T15:47:23Z","timestamp":1777391243525,"version":"3.51.4"},"reference-count":0,"publisher":"SAGE Publications","issue":"3-4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["AF"],"published-print":{"date-parts":[[2014,12,5]]},"abstract":"<jats:p>This paper is a further extension of the method proposed in Itkin (2014) as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes (diffusion and jumps) is applied to these PIDEs. To solve the diffusion equation we use standard finite-difference methods. For the jump part, we transform the jump integral into a pseudo-differential operator and construct its second order approximation on a grid which supersets the grid used for the diffusion part. The proposed schemes are unconditionally stable in time and preserve positivity of the solution which is computed either via a matrix exponential, or via its P\u00e1de approximation. Various numerical experiments are provided to justify these results.<\/jats:p>","DOI":"10.3233\/af-140041","type":"journal-article","created":{"date-parts":[[2019,11,9]],"date-time":"2019-11-09T17:45:43Z","timestamp":1573321543000},"page":"233-250","source":"Crossref","is-referenced-by-count":7,"title":["Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps"],"prefix":"10.1177","volume":"3","author":[{"given":"Andrey","family":"Itkin","sequence":"first","affiliation":[{"name":"School of Engineering, New York University, Brooklyn, NY, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","container-title":["Algorithmic Finance"],"original-title":[],"link":[{"URL":"https:\/\/content.iospress.com\/download?id=10.3233\/AF-140041","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,28]],"date-time":"2026-04-28T09:52:46Z","timestamp":1777369966000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.medra.org\/servlet\/aliasResolver?alias=iospress&doi=10.3233\/AF-140041"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,12,5]]},"references-count":0,"journal-issue":{"issue":"3-4"},"URL":"https:\/\/doi.org\/10.3233\/af-140041","relation":{},"ISSN":["2157-6203","2158-5571"],"issn-type":[{"value":"2157-6203","type":"electronic"},{"value":"2158-5571","type":"print"}],"subject":[],"published":{"date-parts":[[2014,12,5]]}}}