Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710): Difference between revisions

The exponential Lévy process is used to model the option pricing. This model presents an integro-differential equation of the form \[ f'_{t}(t,x)= \mathcal{L} f(t,x),\qquad(t,x)\in (0,T]\times \mathbb R, \] \[ f(0,x)=g(x), \] where the operator \( \mathcal{L} \) has the specific form of the integro-differential operator. The authors are interested in the weak solution of this problem and its approximation by the finite differences schemes. An implicit-explicit algorithm by the time-stepping variable is given. The staying part of the article concerns the order of the error approximation by space variable.