Positive finite difference schemes for a partial integro-differential option pricing model

DOI10.1016/j.amc.2014.10.064zbMath1338.91152MaRDI QIDQ298605

Rafael Company, M. Fakharany, Lucas Jodar

Publication date: 21 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10251/50839

zbMATH Keywords

numerical analysis; partial integro-differential equation; Bates model; stability and positivity

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

45K05: Integro-partial differential equations

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

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

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences