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Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Romero Bauset, José Vicente (Hindawi Publishing Corporation, 2012)

A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution ...
Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing

Egorova, Vera (Universitat Politècnica de València, 2016-09-01)

[EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable ...
Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes

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 ...

Mostrando ítems 1-3 de 3