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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2020.1
- 수록면
- 231 - 249 (19page)
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초록· 키워드
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We present an efficient and robust finite difference method for a two- asset jump diffusion model, which is a partial integro-differential equation (PIDE). To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.
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참고문헌 (21)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81(3):637~654
L. Bo / 2017 / The pricing of basket options: A weak convergence approach / Oper. Res. Lett. 45(2):119~125
J.C. Bogle / 2008 / Black Monday and black swans / Financ. Anal. J. 64(2):30~40
최용호 / 2015 / Robust and accurate method for the Black--Scholes equations with payoff-consistent extrapolation / 대한수학회논문집 30(3):297~311
S.S. Clift / 2008 / Numerical solution of two asset jump diffusion models for option valuation / Appl. Numer. Math. 58(6):743~782
L. Bo / 2017 / The pricing of basket options: A weak convergence approach / Oper. Res. Lett. 45(2):119~125
J.C. Bogle / 2008 / Black Monday and black swans / Financ. Anal. J. 64(2):30~40
최용호 / 2015 / Robust and accurate method for the Black--Scholes equations with payoff-consistent extrapolation / 대한수학회논문집 30(3):297~311
S.S. Clift / 2008 / Numerical solution of two asset jump diffusion models for option valuation / Appl. Numer. Math. 58(6):743~782
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