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Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

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Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

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El-Fakharany, M.; Company Rossi, R.; Jódar Sánchez, LA. (2016). Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes. Journal of Computational and Applied Mathematics. 296:739-752. doi:10.1016/j.cam.2015.10.027

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/84334

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Title: Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
Author:
UPV Unit: Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Issued date:
Abstract:
[EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from ...[+]
Subjects: Numerical analysis , Partial integro-differential equation , Option pricing , Gauss Laguerre quadrature , Positivity
Copyrigths: Reserva de todos los derechos
Source:
Journal of Computational and Applied Mathematics. (issn: 0377-0427 ) (eissn: 1879-1778 )
DOI: 10.1016/j.cam.2015.10.027
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.cam.2015.10.027
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
Thanks:
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) ...[+]
Type: Artículo

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