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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

✍ Scribed by Cont, Rama; Voltchkova, Ekaterina

Book ID
118190408
Publisher
Society for Industrial and Applied Mathematics
Year
2005
Tongue
English
Weight
625 KB
Volume
43
Category
Article
ISSN
0036-1429

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Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model
✍ Spike T. Lee; Hai-Wei Sun 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 161 KB

## Abstract The value of a contingent claim under a jump‐diffusion process satisfies a partial integro‐differential equation. A fourth‐order compact finite difference scheme is applied to discretize the spatial variable of this equation. It is discretized in time by an implicit‐explicit method. Mea