TY - JOUR
T1 - Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
AU - Florescu, Ionuţ
AU - Mariani, Maria Cristina
AU - Sewell, Granville
PY - 2014/8
Y1 - 2014/8
N2 - 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.
AB - 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.
KW - Applied mathematical finance
KW - Jump-diffusion processes
KW - Numerical methods for option pricing
KW - Partial differential equations
UR - http://www.scopus.com/inward/record.url?scp=84904341864&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84904341864&partnerID=8YFLogxK
U2 - 10.1080/14697688.2011.618144
DO - 10.1080/14697688.2011.618144
M3 - Article
AN - SCOPUS:84904341864
SN - 1469-7688
VL - 14
SP - 1445
EP - 1452
JO - Quantitative Finance
JF - Quantitative Finance
IS - 8
ER -