Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

DOI10.1007/s10614-011-9269-8zbMath1254.91747arXiv1002.1995MaRDI QIDQ1930397

Peter Carr, Andrey Itkin

Publication date: 11 January 2013

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.1995

zbMATH Keywords

numerical method; Green function; finite-difference scheme; jump-diffusion; pseudo-parabolic equations; general stable tempered process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34B27: Green's functions for ordinary differential equations

65T50: Numerical methods for discrete and fast Fourier transforms

65L12: Finite difference and finite volume methods for ordinary differential equations

35M99: Partial differential equations of mixed type and mixed-type systems of partial differential equations

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