An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps

We propose a new numerical method for pricing options in the Black–Scholes model with jumps. Specifically, we consider the partial integro‐differential problem that yields the option price, and we solve it by means of a finite difference scheme that combines a fixed‐point iteration technique and a r...

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Veröffentlicht in:	Mathematical methods in the applied sciences 2021-01, Vol.44 (2), p.1843-1862
Hauptverfasser:	Ahmadian, Davood, Ballestra, Luca Vincenzo, Karimi, Nader
Format:	Artikel
Sprache:	eng
Schlagworte:	barrier option Convolution Finite difference method Iterative methods jump‐diffusion Mathematical models Numerical analysis Numerical methods option pricing partial integro‐differential equation Pricing Richardson extrapolation
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