Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

R. Company, L. Jódar and M. Fakharany

Abstract and Applied Analysis, 2013, vol. 2013, 1-11

Abstract:

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 domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:517480

DOI: 10.1155/2013/517480

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