Publication:3621206

Publication date: 15 April 2009

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume-6-2009/No-1-09/2009-01-06.pdf

finite volume method; option pricing; FFT; jump diffusion processes; integral partial differential equation

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

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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