Positive finite difference schemes for a partial integro-differential option pricing model
[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and co...
| Authors: | ; ; |
|---|---|
| Format: | Article |
| Publication date: | 2014 |
| Country: | España |
| Institution: | Universitat Politècnica de València (UPV) |
| Repository: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Language: | English |
| OAI Identifier: | oai:riunet.upv.es:10251/50839 |
| Online Access: | https://riunet.upv.es/handle/10251/50839 |
| Access Level: | Open access |
| Keyword: | Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA |
| _version_ | 1878742830533312513 |
|---|---|
| author | Fakharany, Mohamed |
| author2 | Company Rossi, Rafael|||0000-0001-5217-1889 Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249 |
| author2_role | author author |
| author_browse | Company Rossi, Rafael|||0000-0001-5217-1889 Fakharany, Mohamed Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249 |
| author_facet | Fakharany, Mohamed Company Rossi, Rafael|||0000-0001-5217-1889 Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249 |
| author_role | author |
| collection | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| description | [EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | ES_fd0c6c347bede847bbcdc8d7b20cfc7e |
| institution | Universitat Politècnica de València (UPV) |
| instname_str | Universitat Politècnica de València (UPV) |
| language | eng |
| network_acronym_str | ES |
| network_name_str | España |
| oai_identifier_str | oai:riunet.upv.es:10251/50839 |
| publishDate | 2014 |
| publishDateSort | 2014 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| reponame_str | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| spelling | Positive finite difference schemes for a partial integro-differential option pricing model Fakharany, Mohamed Company Rossi, Rafael|||0000-0001-5217-1889 Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249 Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA [EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included. This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P. Elsevier https://riunet.upv.es/handle/10251/50839 |
| spellingShingle | Positive finite difference schemes for a partial integro-differential option pricing model Fakharany, Mohamed Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA |
| title | Positive finite difference schemes for a partial integro-differential option pricing model |
| title_full | Positive finite difference schemes for a partial integro-differential option pricing model |
| title_fullStr | Positive finite difference schemes for a partial integro-differential option pricing model |
| title_full_unstemmed | Positive finite difference schemes for a partial integro-differential option pricing model |
| title_short | Positive finite difference schemes for a partial integro-differential option pricing model |
| title_sort | Positive finite difference schemes for a partial integro-differential option pricing model |
| topic | Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA |
| topic_facet | Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA |
| url | https://riunet.upv.es/handle/10251/50839 |