A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL

DOI10.7468/jksmeb.2015.22.2.159zbMath1322.65118OpenAlexW2304920912MaRDI QIDQ5500251

Darae Jeong, Yongho Choi, Hyeongseok Hwang, Hyo-Rim An, Seunggyu Lee, Woong Lee, Jae-Man Shin, Young Rock Kim, Junseok Kim

Publication date: 5 August 2015

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2015.22.2.159

zbMATH Keywords

numerical experimentimplicit finite difference methodjump-diffusionpartial integro-differential equationSimpson's rulenon-uniform gridoption pricesderivative securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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