Soleymani, FazlollahAkgul, Ali2024-12-242024-12-2420190170-42141099-1476https://doi.org/10.1002/mma.5363https://hdl.handle.net/20.500.12604/5897We 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.eninfo:eu-repo/semantics/closedAccessasset pricingcomputational methodsdouble integralFD methodjump diffusionArticle422578591Q2WOS:000453882000011Q12-s2.0-8505627476210.1002/mma.5363