Option pricing in jump diffusion models with quadratic spline collocation

In this paper, we develop a robust numerical method in pricing options, when the underlying asset follows a jump diffusion model. We demonstrate that, with the quadratic spline collocation method, the integral approximation in the pricing PIDE is intuitively simple, and comes down to the evaluation...

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Veröffentlicht in:	Applied mathematics and computation 2016-04, Vol.279, p.28-42
Hauptverfasser:	Christara, Christina C., Leung, Nat Chun-Ho
Format:	Artikel
Sprache:	eng
Schlagworte:	American option Approximation Calculation of Greeks collocation Density Diffusion Kou’s model Mathematical analysis Mathematical models Merton’s model Partial integro-differential equation Pricing Probability theory Quadratic spline Splines
Online-Zugang:	Volltext
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