Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

M. Fakharany, R. Company and L. Jódar

Journal of Applied Mathematics, 2015, vol. 2015, issue 1

Abstract: This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar‐trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2015/960728

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:wly:jnljam:v:2015:y:2015:i:1:n:960728

Access Statistics for this article

More articles in Journal of Applied Mathematics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().