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2015 Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems
M. Fakharany, R. Company, L. Jódar
J. Appl. Math. 2015: 1-10 (2015). DOI: 10.1155/2015/960728

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.

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M. Fakharany. R. Company. L. Jódar. "Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems." J. Appl. Math. 2015 1 - 10, 2015. https://doi.org/10.1155/2015/960728

Information

Published: 2015
First available in Project Euclid: 15 April 2015

zbMATH: 07000930
MathSciNet: MR3312763
Digital Object Identifier: 10.1155/2015/960728

Rights: Copyright © 2015 Hindawi

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