Positive solutions of European option pricing with CGMY process models using double discretization difference schemes

DOI10.1155/2013/517480zbMath1291.91231WikidataQ58916986 ScholiaQ58916986MaRDI QIDQ2015694

Rafael Company, M. Fakharany, Lucas Jodar

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

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

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

35R09: Integro-partial differential equations