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

Ionuţ Florescu, Maria Cristina Mariani, Granville Sewell

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1445-1452
Number of pages8
JournalQuantitative Finance
Volume14
Issue number8
DOIs
StatePublished - Aug 2014

Keywords

  • Applied mathematical finance
  • Jump-diffusion processes
  • Numerical methods for option pricing
  • Partial differential equations

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