A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

DOI10.1080/00207160.2014.986114zbMath1335.91098OpenAlexW1991041280MaRDI QIDQ2804029

Davood Ahmadian, Luca Vincenzo Ballestra

Publication date: 27 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2014.986114

zbMATH Keywords

finite element methodoperator splittingjump-diffusionCEV modelbarrier optionsdiscrete barrier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ Continuity correction: on the pricing of discrete double barrier options ⋮ High-order exponential spline method for pricing European options ⋮ Robust numerical algorithm to the European option with illiquid markets

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