Positive finite difference schemes for a partial integro-differential option pricing model

DOI10.1016/j.amc.2014.10.064zbMath1338.91152OpenAlexW2007463019MaRDI QIDQ298605

M. Fakharany, Rafael Company, Lucas Jodar

Publication date: 21 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10251/50839

zbMATH Keywords

numerical analysispartial integro-differential equationBates modelstability and positivity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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