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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

✍ Scribed by Andrey Itkin, Peter Carr

Book ID: 113064168
Publisher: Springer US
Year: 2011
Tongue: English
Weight: 706 KB
Volume: 40
Category: Article
ISSN: 1572-9974
DOI: 10.1007/s10614-011-9269-8

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## 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