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: | ; ; |
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| 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 |
| Summary: | [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. |
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