Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
DOI10.1155/2013/517480zbMATH Open1291.91231OpenAlexW1987794151WikidataQ58916986 ScholiaQ58916986MaRDI QIDQ2015694FDOQ2015694
Authors: M. Fakharany, R. Company, L. Jódar 
Publication date: 23 June 2014
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/517480
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (8)
- Title not available (Why is that?)
- Multigrid method for pricing European options under the CGMY process
- Numerical analysis of novel finite difference methods
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Accurate Evaluation of European and American Options Under the CGMY Process
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
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