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

被引：10

作者：

Fakharany, M. ^{[1
]}

Company, R. ^{[1
]}

Jodar, L. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Matemat Multidisciplinar, Valencia 46022, Spain

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2014年 / 249卷

关键词：

Partial integro-differential equation; Bates model; Numerical analysis; Stability and positivity; JUMP-DIFFUSION MODEL; STOCHASTIC VOLATILITY; AMERICAN OPTIONS;

D O I：

10.1016/j.amc.2014.10.064

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：320 / 332

页数：13

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