Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes

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dc.authoridSoleymani, Fazlollah/0000-0002-6905-8951
dc.contributor.authorSoleymani, Fazlollah
dc.contributor.authorAkgul, Ali
dc.date.accessioned2024-12-24T19:24:13Z
dc.date.available2024-12-24T19:24:13Z
dc.date.issued2019
dc.departmentSiirt Üniversitesi
dc.description.abstractWe 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.
dc.identifier.doi10.1002/mma.5363
dc.identifier.endpage591
dc.identifier.issn0170-4214
dc.identifier.issn1099-1476
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85056274762
dc.identifier.scopusqualityQ1
dc.identifier.startpage578
dc.identifier.urihttps://doi.org/10.1002/mma.5363
dc.identifier.urihttps://hdl.handle.net/20.500.12604/5897
dc.identifier.volume42
dc.identifier.wosWOS:000453882000011
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherWiley
dc.relation.ispartofMathematical Methods in The Applied Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241222
dc.subjectasset pricing
dc.subjectcomputational methods
dc.subjectdouble integral
dc.subjectFD method
dc.subjectjump diffusion
dc.titleAsset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
dc.typeArticle

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