An efficient numerical method for pricing option under jump diffusion model

DOI10.1007/S12572-015-0136-ZzbMath1342.91042OpenAlexW1940115485MaRDI QIDQ531075

Lok Pati Tripathi, Alpesh Kumar, Mohan K. Kadalbajoo

Publication date: 3 August 2016

Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12572-015-0136-z

zbMATH Keywords

option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) 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 (5)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Radial basis function generated finite differences for option pricing problems ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

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