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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

โœ Scribed by Liu, Jun; Sun, Hai-Wei

Book ID
126723575
Publisher
Taylor and Francis Group
Year
2014
Tongue
English
Weight
347 KB
Volume
91
Category
Article
ISSN
0020-7160

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We describe an improvement of Han and Wu's algorithm [H. Han, X.Wu, A fast numerical method for the Black-Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003Anal. 41 (6) ( ) 2081Anal. 41 (6) ( -2095] ] for American options. A high-order optimal compact scheme is used to discretis