Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694)
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scientific article; zbMATH DE number 6306964
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| English | Positive solutions of European option pricing with CGMY process models using double discretization difference schemes |
scientific article; zbMATH DE number 6306964 |
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Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (English)
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23 June 2014
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Summary: This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples.
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