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Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes

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Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes

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Company Rossi, R.; Jódar Sánchez, LA.; El-Fakharany, M. (2013). Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes. Abstract and Applied Analysis. 2013:1-12. https://doi.org/10.1155/2013/517480

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Título: Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes
Autor: Company Rossi, Rafael Jódar Sánchez, Lucas Antonio El-Fakharany, Mohamed
Entidad UPV: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Fecha difusión:
Resumen:
[EN] This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary ...[+]
Palabras clave: Jump-diffusion model , Levy driven assets , American options , Numerical valuation , Returns
Derechos de uso: Reconocimiento (by)
Fuente:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2013/517480
Editorial:
Hindawi Publishing Corporation
Versión del editor: http://dx.doi.org/10.1155/2013/517480
Código del Proyecto:
info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/
Agradecimientos:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and ...[+]
Tipo: Artículo

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