Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed(Hindawi Publishing Corporation, 2013-10)
[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 ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed; Casabán Bartual, Mª Consuelo(Hindawi Publishing Corporation, 2013-05)
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional
convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...