A combined compact difference scheme for option pricing in the exponential jump-diffusion models
نویسندگان
چکیده
منابع مشابه
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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 provide an estimate for the localization ...
متن کاملOption Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملOption Pricing Under a Double Exponential Jump Diffusion Model
Analytical tractability is one of the challenges faced by many alternative models that try to generalize the Black-Scholes option pricing model to incorporate more empirical features. The aim of this paper is to extend the analytical tractability of the BlackScholes model to alternative models with jumps. We demonstrate a double exponential jump diffusion model can lead to an analytic approxima...
متن کاملOption Pricing Under a Mixed-Exponential Jump Diffusion Model
This paper aims at extending the analytical tractability of the Black-Scholes model to alternative models with arbitrary jump size distributions. More precisely, we propose a jump diffusion model for asset prices whose jump sizes have a mixed-exponential distribution, which is a weighted average of exponential distributions but with possibly negative weights. The new model extends existing mode...
متن کاملCompact finite difference scheme for option pricing in Heston’s model
We present a compact high-order finite difference scheme for option pricing in the well-known Heston stochastic volatility model. The scheme is fourth order accurate in space and second order accurate in time. This is also confirmed by the numerical experiments that we present.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2019
ISSN: 1687-1847
DOI: 10.1186/s13662-019-2431-7