Comparison of numerical methods on pricing equations with non-Lévy jumps

DOI10.1007/S12190-015-0931-5zbMath1349.91307OpenAlexW1734918799MaRDI QIDQ330364

Kiseop Lee, Taeyoung Ha, Myoung-Nyoun Kim

Publication date: 25 October 2016

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

Full work available at URL: https://doi.org/10.1007/s12190-015-0931-5

zbMATH Keywords

option pricingjump processCrank-Nicolsonpartial integro-differential equationpredictor-correctorhedging problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Integro-partial differential equations (35R09)

Cites Work

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• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Robust numerical methods for contingent claims under jump diffusion processes
• Financial Modelling with Jump Processes
• Insiders' hedging in a jump diffusion model

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