An efficient numerical method for pricing option under jump diffusion model

被引：0
|
作者：
Mohan K. Kadalbajoo
Alpesh Kumar
Lok Pati Tripathi
机构：
[1] Indian Institute of Technology Kanpur,Department of Mathematics and Statistics
来源：
International Journal of Advances in Engineering Sciences and Applied Mathematics | 2015年 / 7卷 / 3期
关键词：
Radial basis function; Finite difference; Option pricing; Jump-diffusion models; Partial integro-differential equation;
D O I：
10.1007/s12572-015-0136-z
中图分类号：
学科分类号：
摘要：
The aim of the present manuscript is to develop an efficient and accurate numerical method for pricing the option when underlying asset follows jump diffusion process. The governing equation is time semi discretized by using the implicit–explicit Crank-Nicolson Leap-Frog scheme followed by radial basis function based finite difference method. Numerical results are presented to show the efficiency of the methods for put and call option under Merton and Kou model. The stability of time semi discretized scheme is also proved.
引用
收藏
页码：114 / 123
页数：9
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