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Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

Ionuţ Florescu, Maria Cristina Mariani and Granville Sewell

Quantitative Finance, 2011, vol. 14, issue 8, 1445-1452

Abstract: We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver.

Date: 2011
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Handle: RePEc:taf:quantf:v:14:y:2011:i:8:p:1445-1452