Positive finite difference schemes for a partial integro-differential option pricing model

Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio

doi:10.1016/j.amc.2014.10.064

Positive finite difference schemes for a partial integro-differential option pricing model

dc.contributor.affiliation	Facultad de Administración y Dirección de Empresas
dc.contributor.affiliation	Departamento de Matemática Aplicada
dc.contributor.affiliation	Instituto Universitario de Matemática Multidisciplinar
dc.contributor.affiliation	Escuela Técnica Superior de Ingeniería de Caminos, Canales y Puertos
dc.contributor.author	Fakharany, Mohamed	es_ES
dc.contributor.author	Company Rossi, Rafael
dc.contributor.author	Jódar Sánchez, Lucas Antonio
dc.contributor.funder	European Commission
dc.contributor.funder	Ministerio de Economía y Competitividad
dc.date.accessioned	2015-05-27T10:11:17Z
dc.date.available	2015-05-27T10:11:17Z
dc.date.issued	2014-12
dc.description.abstract	[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.	en_EN
dc.description.accrualMethod	S	es_ES
dc.description.bibliographicCitation	Fakharany, M.; Company Rossi, R.; Jódar Sánchez, LA. (2014). Positive finite difference schemes for a partial integro-differential option pricing model. Applied Mathematics and Computation. 249:320-332. https://doi.org/10.1016/j.amc.2014.10.064	es_ES
dc.description.sponsorship	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.	en_EN
dc.description.upvformatpfin	332	es_ES
dc.description.upvformatpinicio	320	es_ES
dc.description.volume	249	es_ES
dc.identifier.doi	10.1016/j.amc.2014.10.064
dc.identifier.issn	0096-3003
dc.identifier.uri	https://riunet.upv.es/handle/10251/50839
dc.language	Inglés	es_ES
dc.publisher	Elsevier	es_ES
dc.relation.ispartof	Applied Mathematics and Computation	es_ES
dc.relation.projectID	info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/	es_ES
dc.relation.projectID	info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
dc.relation.publisherversion	http://dx.doi.org/10.1016/j.amc.2014.10.064	es_ES
dc.relation.senia	276488
dc.rights	Reserva de todos los derechos	es_ES
dc.rights.accessRights	Abierto	es_ES
dc.subject	Partial integro-differential equation	es_ES
dc.subject	Bates model	es_ES
dc.subject	Numerical analysis	es_ES
dc.subject	Stability and positivity	es_ES
dc.subject.classification	MATEMATICA APLICADA	es_ES
dc.title	Positive finite difference schemes for a partial integro-differential option pricing model	es_ES
dc.type	Artículo	es_ES
dc.type.version	info:eu-repo/semantics/publishedVersion	es_ES
dspace.entity.type	Publication
person.identifier	3406
person.identifier	1074
person.identifier.orcid	0000-0001-5217-1889
person.identifier.orcid	0000-0002-9672-6249
relation.isAuthorOfPublication	6304723f-595e-48be-927a-f0fe7a778e70
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upv.uuid	794fbb81-3c6e-4565-9501-e1a46eadda45	es_ES

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