A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

DOI10.1137/S0036142903436186zbMath1101.47059OpenAlexW2142278738MaRDI QIDQ5470894

Publication date: 2 June 2006

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142903436186

zbMATH Keywords

option pricing finite difference methods Lévy process parabolic integro-differential equations viscosity solutions jump-diffusion models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-differential operators (47G20)

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