Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models

DOI10.1007/s10915-015-0001-zzbMath1331.91191MaRDI QIDQ897123

Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi

Publication date: 17 December 2015

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-015-0001-z

zbMATH Keywords

option pricing; finite differences; spline collocation; jump-diffusion model; partial integro-differential equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs