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

Abstract

We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the underlying asset is driven by a Lévy process or, more generally, a time-inhomogeneous jumpdiffusion process. We discuss localization to a finite domain and… (More)
DOI: 10.1137/S0036142903436186

6 Figures and Tables

Topics

  • Presentations referencing similar topics