Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes | Zendy

R. Company | Zendy; L. Jódar | Zendy; M. Fakharany | Zendy

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Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

Author(s) -

R. Company,

L. Jódar,

M. Fakharany

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/517480

Subject(s) - discretization , mathematics , consistency (knowledge bases) , scheme (mathematics) , stability (learning theory) , boundary (topology) , domain (mathematical analysis) , valuation of options , process (computing) , mathematical optimization , econometrics , mathematical analysis , computer science , discrete mathematics , machine learning , operating system

This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples

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