EconPapers    
Economics at your fingertips  
 

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
References: View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2011.618144 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2011:i:8:p:1445-1452

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-04-14
Handle: RePEc:taf:quantf:v:14:y:2011:i:8:p:1445-1452