کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4638203 1631995 2016 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
چکیده انگلیسی

In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from computational and accuracy issues, qualitative properties such as positivity are treated. Consistency of the proposed numerical scheme and stability in the von Neumann sense are included. Gauss–Laguerre quadrature formula is used for the discretization of the integral part. Numerical examples illustrating the potential advantages of the presented results are included.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 296, April 2016, Pages 739–752
نویسندگان
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