Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models
A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is propos...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2012-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/120358 |
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| _version_ | 1832564273494097920 |
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| author | M.-C. Casabán R. Company L. Jódar J.-V. Romero |
| author_facet | M.-C. Casabán R. Company L. Jódar J.-V. Romero |
| author_sort | M.-C. Casabán |
| collection | DOAJ |
| description | A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is proposed. Stability, consistency, and positivity of the resulting explicit scheme are analyzed. Advantages of the method are illustrated with several examples. |
| format | Article |
| id | doaj-art-846670f99550448985bae94fd2a45b59 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-846670f99550448985bae94fd2a45b592025-02-03T01:11:23ZengWileyAbstract and Applied Analysis1085-33751687-04092012-01-01201210.1155/2012/120358120358Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion ModelsM.-C. Casabán0R. Company1L. Jódar2J.-V. Romero3Instituto de Matemática Multidisciplinar, Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, SpainInstituto de Matemática Multidisciplinar, Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, SpainInstituto de Matemática Multidisciplinar, Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, SpainInstituto de Matemática Multidisciplinar, Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, SpainA new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is proposed. Stability, consistency, and positivity of the resulting explicit scheme are analyzed. Advantages of the method are illustrated with several examples.http://dx.doi.org/10.1155/2012/120358 |
| spellingShingle | M.-C. Casabán R. Company L. Jódar J.-V. Romero Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models Abstract and Applied Analysis |
| title | Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models |
| title_full | Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models |
| title_fullStr | Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models |
| title_full_unstemmed | Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models |
| title_short | Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models |
| title_sort | double discretization difference schemes for partial integrodifferential option pricing jump diffusion models |
| url | http://dx.doi.org/10.1155/2012/120358 |
| work_keys_str_mv | AT mccasaban doublediscretizationdifferenceschemesforpartialintegrodifferentialoptionpricingjumpdiffusionmodels AT rcompany doublediscretizationdifferenceschemesforpartialintegrodifferentialoptionpricingjumpdiffusionmodels AT ljodar doublediscretizationdifferenceschemesforpartialintegrodifferentialoptionpricingjumpdiffusionmodels AT jvromero doublediscretizationdifferenceschemesforpartialintegrodifferentialoptionpricingjumpdiffusionmodels |