Unconditional positive stable numerical solution of partial integrodifferential option pricing problems

DOI10.1155/2015/960728zbMath1435.91197WikidataQ59112075 ScholiaQ59112075MaRDI QIDQ1756203

Rafael Company, M. Fakharany, Lucas Jodar

Publication date: 14 January 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/960728

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)