Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
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) Numerical methods (including Monte Carlo methods) (91G60)
Summary: This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Positive finite difference schemes for a partial integro-differential option pricing model
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Efficient solution of a partial integro-differential equation in finance
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A high-order conservative Patankar-type discretisation for stiff systems of production--destruction equations
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- Accurate Evaluation of European and American Options Under the CGMY Process
- An iterative method for pricing American options under jump-diffusion models
- An unconditionally positivity preserving scheme for advection-diffusion reaction equations
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Far field boundary conditions for Black-Scholes equations
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
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- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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- PDE and martingale methods in option pricing.
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- The Generalized Integro-Exponential Function
- The Variance Gamma Process and Option Pricing
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Positive finite difference schemes for a partial integro-differential option pricing model
- Numerical solution of systems of partial integral differential equations with application to pricing options
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