Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models
Joint Authors
Company, R.
Casabán, M.-C.
Jódar, Lucas
Romero, J.-V.
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-04
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models.
In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is proposed.
Stability, consistency, and positivity of the resulting explicit scheme are analyzed.
Advantages of the method are illustrated with several examples.
American Psychological Association (APA)
Casabán, M.-C.& Company, R.& Jódar, Lucas& Romero, J.-V.. 2012. Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-447237
Modern Language Association (MLA)
Casabán, M.-C.…[et al.]. Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models. Abstract and Applied Analysis No. 2012 (2012), pp.1-20.
https://search.emarefa.net/detail/BIM-447237
American Medical Association (AMA)
Casabán, M.-C.& Company, R.& Jódar, Lucas& Romero, J.-V.. Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-447237
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447237
