An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps

DOI10.1002/mma.6882zbMath1473.91029OpenAlexW3087598500MaRDI QIDQ5003927

Davood Ahmadian, Nader Karimi, Luca Vincenzo Ballestra

Publication date: 30 July 2021

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

Full work available at URL: https://doi.org/10.1002/mma.6882

zbMATH Keywords

option pricingRichardson extrapolationjump-diffusionbarrier optionpartial integro-differential equation

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 methods for discrete and fast Fourier transforms (65T50)

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