Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models

DOI10.1016/J.CAM.2012.07.028MaRDI QIDQ455849zbMATH OpenOpenAlexFDO

Authors Jaewook Lee, Younhee Lee

Publication date 22 October 2012

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2012.07.028

zbMATH Keywords

option pricingfinite difference methodlinear complementarity problempartial integro-differential equationinfinite-activity model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-differential operators (47G20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(6)

• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
• A second-order tridiagonal method for American options under jump-diffusion models
• A new operator splitting method for American options under fractional Black-Scholes models
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes

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