Loading...
Please wait, while we are loading the content...
A combined compact difference scheme for option pricing in the exponential jump-diffusion models
| Content Provider | Semantic Scholar |
|---|---|
| Author | Akbari, Rahman Mokhtari, Reza Jahandideh, Mohammad Taghi |
| Copyright Year | 2019 |
| Abstract | In the present paper, starting with the Black–Scholes equations, whose solutions are the values of European options, we describe the exponential jump-diffusion model of Levy process type. Here, a jump-diffusion model for a single-asset market is considered. Under this assumption the value of a European contingency claim satisfies a general “partial integro-differential equation” (PIDE). With a combined compact difference (CCD) scheme for the spatial discretization, a high-order method is proposed for solving exponential jump-diffusion models. The method is sixth-order accurate in space and second-order accurate in time. A known analytical solution to the model is used to evaluate the performance of the numerical scheme. |
| Starting Page | 1 |
| Ending Page | 13 |
| Page Count | 13 |
| File Format | PDF HTM / HTML |
| DOI | 10.1186/s13662-019-2431-7 |
| Volume Number | 2019 |
| Alternate Webpage(s) | https://advancesindifferenceequations.springeropen.com/track/pdf/10.1186/s13662-019-2431-7 |
| Alternate Webpage(s) | https://doi.org/10.1186/s13662-019-2431-7 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
