Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model
Author:
Funder
FDCT of Macao
University of Macau
Publisher
Wiley
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/num.20677/fullpdf
Reference26 articles.
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2. Option pricing when underlying stock returns are discontinuous;Merton;J Financ Econ,1976
3. Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing;Andersen;Rev Deriv Res,2000
4. A jump-diffusion model for option pricing;Kou;Manag Sci,2002
5. Jumps and stochastic volatility: exchange rate processes implicit in Deutsche Mark options;Bates;Rev Financ Stud,1996
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