Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
From MaRDI portal
Publication:2875711
DOI10.1002/num.21864zbMath1294.91191MaRDI QIDQ2875711
Edgard Ngounda, Edson Pindza, Kailash C. Patidar
Publication date: 11 August 2014
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21864
jump-diffusion processes; European options; partial integro-differential equation; Clenshaw-Curtis quadrature; implicit-explicit predictor-corrector methods; rational spectral methods
91G60: Numerical methods (including Monte Carlo methods)
45K05: Integro-partial differential equations
91G20: Derivative securities (option pricing, hedging, etc.)
65L05: Numerical methods for initial value problems involving ordinary differential equations
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
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