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...

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Detalles Bibliográficos
Autores: Fakharany, Mohamed, Company Rossi, Rafael|||0000-0001-5217-1889, Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
Tipo de recurso: artículo
Fecha de publicación:2014
País:España
Institución:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/50839
Acceso en línea:https://riunet.upv.es/handle/10251/50839
Access Level:acceso abierto
Palabra clave:Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
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spelling Positive finite difference schemes for a partial integro-differential option pricing modelFakharany, MohamedCompany Rossi, Rafael|||0000-0001-5217-1889Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249Partial integro-differential equationBates modelNumerical analysisStability and positivityMATEMATICA APLICADA[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.This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P.ElsevierFacultad de Administración y Dirección de EmpresasDepartamento de Matemática AplicadaInstituto Universitario de Matemática MultidisciplinarEscuela Técnica Superior de Ingeniería de Caminos, Canales y PuertosEuropean CommissionMinisterio de Economía y CompetitividadRepositorio Institucional de la Universitat Politècnica de València Riunet20142014-12-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://riunet.upv.es/handle/10251/50839reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valénciainstname:Universitat Politècnica de València (UPV)InglésengMinisterio de Economía y Competitividad http://dx.doi.org/10.13039/501100003329 MTM2013-41765-P METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONESEuropean Commission https://doi.org/10.13039/501100000780 FP7 304617 Novel Methods in Computational Financeopen accesshttp://purl.org/coar/access_right/c_abf2Reserva de todos los derechoshttp://rightsstatements.org/vocab/InC/1.0/info:eu-repo/semantics/openAccessoai:riunet.upv.es:10251/508392026-06-13T07:49:27Z
dc.title.none.fl_str_mv Positive finite difference schemes for a partial integro-differential option pricing model
title Positive finite difference schemes for a partial integro-differential option pricing model
spellingShingle Positive finite difference schemes for a partial integro-differential option pricing model
Fakharany, Mohamed
Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
title_short Positive finite difference schemes for a partial integro-differential option pricing model
title_full Positive finite difference schemes for a partial integro-differential option pricing model
title_fullStr Positive finite difference schemes for a partial integro-differential option pricing model
title_full_unstemmed Positive finite difference schemes for a partial integro-differential option pricing model
title_sort Positive finite difference schemes for a partial integro-differential option pricing model
dc.creator.none.fl_str_mv Fakharany, Mohamed
Company Rossi, Rafael|||0000-0001-5217-1889
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
author Fakharany, Mohamed
author_facet Fakharany, Mohamed
Company Rossi, Rafael|||0000-0001-5217-1889
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
author_role author
author2 Company Rossi, Rafael|||0000-0001-5217-1889
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
author2_role author
author
dc.contributor.none.fl_str_mv Facultad de Administración y Dirección de Empresas
Departamento de Matemática Aplicada
Instituto Universitario de Matemática Multidisciplinar
Escuela Técnica Superior de Ingeniería de Caminos, Canales y Puertos
European Commission
Ministerio de Economía y Competitividad
Repositorio Institucional de la Universitat Politècnica de València Riunet
dc.subject.none.fl_str_mv Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
topic Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
description [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.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://riunet.upv.es/handle/10251/50839
url https://riunet.upv.es/handle/10251/50839
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.relation.none.fl_str_mv Ministerio de Economía y Competitividad http://dx.doi.org/10.13039/501100003329 MTM2013-41765-P METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES
European Commission https://doi.org/10.13039/501100000780 FP7 304617 Novel Methods in Computational Finance
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname:Universitat Politècnica de València (UPV)
instname_str Universitat Politècnica de València (UPV)
reponame_str RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
collection RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
repository.name.fl_str_mv
repository.mail.fl_str_mv
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