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Listar por palabra clave "Partial integro-differential equation"

Mostrando ítems 1-2 de 2

Positive finite difference schemes for a partial integro-differential option pricing model

Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2014-12)

[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has ...
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 ...

Mostrando ítems 1-2 de 2