Asset pricing for an affine jump‐diffusion model using an FD method of lines on nonuniform meshes

DOI10.1002/mma.5363zbMath1419.91655OpenAlexW2901169505WikidataQ128960649 ScholiaQ128960649MaRDI QIDQ4629252

Ali Akgül, Fazlollah Soleymani

Publication date: 21 March 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.5363

zbMATH Keywords

asset pricingcomputational methodsdouble integraljump diffusionFD method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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