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Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

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Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

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Fakharany, MMRE.; Company Rossi, R.; Jódar Sánchez, LA. (2015). Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems. Journal of Applied Mathematics. 2015:1-10. doi:10.1155/2015/960728

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/70446

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Title: Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme ...[+]
Copyrigths: Reconocimiento (by)
Source:
Journal of Applied Mathematics. (issn: 1110-757X )
DOI: 10.1155/2015/960728
Publisher:
Hindawi Publishing Corporation
Publisher version: http://dx.doi.org/10.1155/2015/960728
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
Type: Artículo

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