Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

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.

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Year of publication:	2011
Authors:	Florescu, Ionuţ ; Mariani, Maria Cristina ; Sewell, Granville
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 14.2011, 8, p. 1445-1452
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010825969