Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models

DOI10.1007/s10915-015-0001-zzbMath1331.91191OpenAlexW2061802455MaRDI QIDQ897123

Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar

Publication date: 17 December 2015

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-015-0001-z

zbMATH Keywords

option pricingfinite differencesspline collocationjump-diffusion modelpartial integro-differential equation

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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (20)

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