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Mostrando ítems 1-3 de 3

Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature

El-Fakharany, Mohamed; Egorova, Vera; Company Rossi, Rafael (Elsevier, 2018)

[EN] In this work a finite difference approach together with a bivariate Gauss¿Hermite quadrature technique is developed for partial-integro differential equations related to option pricing problems on two underlying ...
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

El-Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-04)

[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 ...
Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

Fakharany, Mohamed Mostafa Refaat el; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Hindawi Publishing Corporation, 2015)

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 ...

Mostrando ítems 1-3 de 3