Pricing options under jump diffusion processes with fitted finite volume method

@article{Zhang2008PricingOU,
  title={Pricing options under jump diffusion processes with fitted finite volume method},
  author={Kai Zhang and Song Wang},
  journal={Applied Mathematics and Computation},
  year={2008},
  volume={201},
  pages={398-413}
}
This paper develops a numerical method for a partial integro-differential equation and a partial integro-differential complementarity problem arising from European and American options valuations respectively when the underlying assets are driven by a jump diffusion process. The method is based on a fitted finite volume scheme for the spatial discretization and the Crank–Nicolson scheme for the time discretization. The fully discretized system is solved by an iterative method coupled with an… CONTINUE READING

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