Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

DOI10.1016/j.cam.2015.10.027zbMath1342.91041OpenAlexW2175257117MaRDI QIDQ898993

M. Fakharany, Lucas Jodar, Rafael Company

Publication date: 21 December 2015

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.2015.10.027

zbMATH Keywords

option pricingpositivitynumerical analysispartial integro-differential equationGauss-Laguerre quadrature

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Isogeometric analysis in option pricing ⋮ 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models

Uses Software

• Wesseling

Cites Work

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