Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
2014
We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver.
Keywords:
- Financial economics
- Exponential integrator
- Finance
- Economics
- Stochastic partial differential equation
- Mathematical finance
- FTCS scheme
- Numerical partial differential equations
- Mathematical optimization
- Numerical stability
- Finite difference methods for option pricing
- Stochastic volatility
- Partial differential equation
- Order of accuracy
- Correction
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