Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

DOI10.1016/J.CAM.2015.10.027zbMATH Open1342.91041OpenAlexW2175257117MaRDI QIDQ898993FDOQ898993

Authors: M. Fakharany, R. Company, L. Jódar 

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.027

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zbMATH Keywords

option pricingnumerical analysispositivitypartial integro-differential equationGauss-Laguerre quadrature

Mathematics Subject Classification ID

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

Cites Work

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Cited In (9)

• Title not available (Why is that?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• Isogeometric analysis in option pricing
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• Accurate Evaluation of European and American Options Under the CGMY Process
• 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
• Numerical Analysis of Novel Finite Difference Methods

Uses Software

• Wesseling

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