Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models

DOI10.1016/J.CAM.2012.07.028zbMath1260.91259OpenAlexW2076813338MaRDI QIDQ455849

Jaewook Lee, Younhee Lee

Publication date: 22 October 2012

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

Full work available at URL: https://doi.org/10.1016/j.cam.2012.07.028

zbMATH Keywords

finite difference methodoption pricinglinear complementarity problempartial integro-differential equationinfinite-activity model

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) Integro-differential operators (47G20)

Related Items (4)

A new operator splitting method for American options under fractional Black-Scholes models ⋮ Unconditional positive stable numerical solution of partial integrodifferential option pricing problems ⋮ Positive solutions of European option pricing with CGMY process models using double discretization difference schemes ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

This page was built for publication: Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models