A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL

被引：1

作者：

Jeong, Darae ^{[1
]}

Kim, Young Rock ^{[2
]}

Lee, Seunggyu ^{[1
]}

Choi, Yongho ^{[1
]}

Lee, Woong-Ki ^{[3
]}

Shin, Lae-Man ^{[4
]}

An, Hyo-Rim ^{[4
]}

Hwang, Hyeongseok ^{[4
]}

Kim, Junseok ^{[1
]}

机构：

[1] Korea Univ, Dept Math, Seoul 136713, South Korea

[2] Hankuk Univ Foreign Studies, Major Math Educ, Seoul 130791, South Korea

[3] Korea Univ, Business Sch, Seoul 136071, South Korea

[4] Korea Univ, Dept Financial Engn, Seoul 136071, South Korea

来源：

JOURNAL OF THE KOREAN SOCIETY OF MATHEMATICAL EDUCATION SERIES B-PURE AND APPLIED MATHEMATICS | 2015年 / 22卷 / 02期

关键词：

jump-diffusion; Simpson's rule; non-uniform grid; implicit finite difference method; derivative securities;

D O I：

10.7468/jksmeb.2015.22.2.159

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We propose a fast and robust finite difference method for Merton`s jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model.

引用

页码：159 / 168

页数：10

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