A finite difference method for pricing European and American options under a geometric Lévy process

DOI10.3934/JIMO.2015.11.241zbMath1305.91239OpenAlexW2090571492WikidataQ59416153 ScholiaQ59416153MaRDI QIDQ2514654

Wen Chen, Songgui Wang

Publication date: 3 February 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.241

zbMATH Keywords

convergencefinite difference methodoption pricinglinear complementarity problempenalty methodfractional Black-Scholes equation

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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

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