AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL

DOI10.7468/jksmeb.2020.27.4.231zbMath1476.65177OpenAlexW3149738994MaRDI QIDQ4995207

Seongjin Lee, Kisung Yang, Wonjin Lee, Hanbyeol Jang, Hyun-Soo Han, Jian Wang, Junseok Kim, Chaeyoung Lee

Publication date: 23 June 2021

Full work available at URL: http://koreascience.or.kr:80/article/JAKO202034965760343.pdf

zbMATH Keywords

implicit finite difference methodjump-diffusionSimpson's rulenon-uniform gridderivative securities

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) Numerical quadrature and cubature formulas (65D32) Integro-partial differential equations (35R09)

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