Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638203 | Journal of Computational and Applied Mathematics | 2016 | 14 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
M. Fakharany, R. Company, L. Jódar,