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...

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Autores: Fakharany, Mohamed, Company Rossi, Rafael|||0000-0001-5217-1889, Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
Tipo de recurso: artículo
Fecha de publicación:2014
País:España
Institución:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/50839
Acceso en línea:https://riunet.upv.es/handle/10251/50839
Access Level:acceso abierto
Palabra clave:Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
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oai_identifier_str oai:riunet.upv.es:10251/50839
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spelling Positive finite difference schemes for a partial integro-differential option pricing model Fakharany, Mohamed Company Rossi, Rafael|||0000-0001-5217-1889 Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249 Partial integro-differential equation Bates model Numerical analysis Stability and positivity MATEMATICA APLICADA [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. This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P. Elsevier https://riunet.upv.es/handle/10251/50839
title Positive finite difference schemes for a partial integro-differential option pricing model
spellingShingle Positive finite difference schemes for a partial integro-differential option pricing model
Fakharany, Mohamed
Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
title_short Positive finite difference schemes for a partial integro-differential option pricing model
title_full Positive finite difference schemes for a partial integro-differential option pricing model
title_fullStr Positive finite difference schemes for a partial integro-differential option pricing model
title_full_unstemmed Positive finite difference schemes for a partial integro-differential option pricing model
title_sort Positive finite difference schemes for a partial integro-differential option pricing model
author Fakharany, Mohamed
author_facet Fakharany, Mohamed
Company Rossi, Rafael|||0000-0001-5217-1889
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
author_role author
author2 Company Rossi, Rafael|||0000-0001-5217-1889
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
author2_role author
author
topic Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
topic_facet Partial integro-differential equation
Bates model
Numerical analysis
Stability and positivity
MATEMATICA APLICADA
description [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.
publishDate 2014
format article
url https://riunet.upv.es/handle/10251/50839
language eng
eu_rights_str_mv openAccess
publisher Elsevier
institution Universitat Politècnica de València (UPV)
collection RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
reponame_str RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname_str Universitat Politècnica de València (UPV)
_version_ 1878443412256980993
publishDateSort 2014
author_browse Company Rossi, Rafael|||0000-0001-5217-1889
Fakharany, Mohamed
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
publisherStr Elsevier
score 6,924472

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