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

Abstract

An implicit-explicit Euler scheme in temporal direction is employed to discretize a partial integro-differential equation, which arises in pricing options under jumpdiffusion process. Then the semi-discretized equation is approximated in space by the Sinc-Galerkin method with exponential accuracy. Meanwhile, the domain decomposition method is incorporated… (More)
DOI: 10.1080/00207160.2013.867954

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