FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS

DOI10.1142/S0219024918500279zbMath1395.91501arXiv1804.07534OpenAlexW2963867613WikidataQ129869055 ScholiaQ129869055MaRDI QIDQ4571701

Kuldip Singh Patel, Mani Mehra

Publication date: 29 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07534

zbMATH Keywords

option pricingLévy processToeplitz matricesEuropean optionspartial integro-differential equationsjump-diffusion modelscompact schemes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Numerical methods for time-fractional convection-diffusion problems with high-order accuracy ⋮ Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients ⋮ Numerical solution of variable‐order stochastic fractional integro‐differential equation with a collocation method based on Müntz–Legendre polynomial ⋮ High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Wavelet-optimized compact finite difference method for convection-diffusion equations ⋮ The Crank-Nicolson type compact difference schemes for a loaded time-fractional Hallaire equation ⋮ OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS ⋮ Boundary value problems for a loaded modified fractional-order moisture transfer equation with the Bessel operator and difference methods for their solution

Uses Software

• Algorithm 986

Cites Work

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• Algorithm 986
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