Positive finite difference schemes for a partial integro-differential option pricing model
[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and co...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Data de publicação: | 2014 |
| País: | España |
| Recursos: | Universitat Politècnica de València (UPV) |
| Repositório: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Idioma: | inglês |
| OAI Identifier: | oai:riunet.upv.es:10251/50839 |
| Acesso em linha: | https://riunet.upv.es/handle/10251/50839 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA |
| Resumo: | [EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included. |
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