An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function

DOI10.1051/m2an/2021012zbMath1481.65160OpenAlexW3137564024MaRDI QIDQ5154006

Mengli Mao, Zheng Wang, Wan-Sheng Wang

Publication date: 1 October 2021

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2021012

zbMATH Keywords

stabilityerror estimatesfinite difference methodjump-diffusion modelpartial integro-differential equationsoptions pricingimplicit-explicit midpoint formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) 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) Numerical solutions to equations with linear operators (65J10) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical integration (65D30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

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