Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
[EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from computational and accuracy issues, qualitative properties such as positivity a...
| Autores: | , , |
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| Formato: | artículo |
| Fecha de publicación: | 2016 |
| País: | España |
| Recursos: | Universitat Politècnica de València (UPV) |
| Repositorio: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Idioma: | inglés |
| OAI Identifier: | oai:riunet.upv.es:10251/84334 |
| Acesso em linha: | https://riunet.upv.es/handle/10251/84334 |
| Access Level: | acceso abierto |
| Palavra-chave: | Numerical analysis Partial integro-differential equation Option pricing Gauss Laguerre quadrature Positivity MATEMATICA APLICADA |
| Resumo: | [EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from computational and accuracy issues, qualitative properties such as positivity are treated. Consistency of the proposed numerical scheme and stability in the von Neumann sense are included. Gauss Laguerre quadrature formula is used for the discretization of the integral part. Numerical examples illustrating the potential advantages of the presented results are included. |
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