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초록· 키워드
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We propose a number of finite difference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-differential equation (PIDE) are based on three time levels in order to avoid fixed point iterations arising from an integral operator. Numerical simulations are carried out to compare these methods with each other for pricing the European option under the CGMY model.
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참고문헌 (7)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81:637~654
P. Carr / 2002 / The fine structure of asset returns: An empirical investigation / J. Bus 75:305~332
P. Carr / 1999 / Option valuation using the fast Fourier transform / J. Comput. Financ 2:61~73
R. Cont / 2005 / A finite difference scheme for option pricing in jump diffusion and exponential Levy models / SIAM J. Numer. Anal 43:1596~1626
J. Lee / 2013 / Tridiagonal implicit method to evaluate European and Amer-ican options under in¯nite activity Levy models / J. Comput. Appl. Math 237:234~243
P. Carr / 2002 / The fine structure of asset returns: An empirical investigation / J. Bus 75:305~332
P. Carr / 1999 / Option valuation using the fast Fourier transform / J. Comput. Financ 2:61~73
R. Cont / 2005 / A finite difference scheme for option pricing in jump diffusion and exponential Levy models / SIAM J. Numer. Anal 43:1596~1626
J. Lee / 2013 / Tridiagonal implicit method to evaluate European and Amer-ican options under in¯nite activity Levy models / J. Comput. Appl. Math 237:234~243
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