Positive solutions of European option pricing with CGMY process models using double discretization difference schemes

DOI10.1155/2013/517480zbMath1291.91231OpenAlexW1987794151WikidataQ58916986 ScholiaQ58916986MaRDI QIDQ2015694

M. Fakharany, Lucas Jodar, Rafael Company

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/517480

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

Related Items (4)

Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ Unconditional positive stable numerical solution of partial integrodifferential option pricing problems ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models

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