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 language | English |
|---|---|
| Pages (from-to) | 1445-1452 |
| Number of pages | 8 |
| Journal | Quantitative Finance |
| Volume | 14 |
| Issue number | 8 |
| DOIs | |
| State | Published - Aug 2014 |
Keywords
- Applied mathematical finance
- Jump-diffusion processes
- Numerical methods for option pricing
- Partial differential equations
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