Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
[ X ]
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Wiley
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We present a novel numerical scheme for the valuation of options under a well-known jump-diffusion model. European option pricing for such a case satisfies a 1 + 2 partial integro-differential equation (PIDE) including a double integral term, which is nonlocal. The proposed approach relies on nonuniform meshes with a focus on the discontinuous and degenerate areas of the model and applying quadratically convergent finite difference (FD) discretizations via the method of lines (MOL). A condition for observing the time stability of the fully discretized problem is given. Also, we report results of numerical experiments.
Açıklama
Anahtar Kelimeler
asset pricing, computational methods, double integral, FD method, jump diffusion
Kaynak
Mathematical Methods in The Applied Sciences
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
42
Sayı
2
