A radial basis function based implicit-explicit method for option pricing under jump-diffusion models

被引：28

作者：

Kadalbajoo, Mohan K. ^{[1
]}

Kumar, Alpesh ^{[1
]}

Tripathi, Lok Pati ^{[1
]}

机构：

[1] Indian Inst Technol Kanpur, Dept Math & Stat, Kanpur 208016, Uttar Pradesh, India

来源：

APPLIED NUMERICAL MATHEMATICS | 2016年 / 110卷

关键词：

Radial basis function; Finite difference; Option pricing; Jump-diffusion models; Partial integro-differential equation; AMERICAN OPTIONS; NUMERICAL VALUATION; APPROXIMATION; EQUATIONS; SCHEMES;

D O I：

10.1016/j.apnum.2016.08.006

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article, we present a radial basis function based implicit explicit numerical method to solve the partial integro-differential equation which describes the nature of the option price under jump diffusion model. The governing equation is time semi discrtized by using the implicit-explicit backward difference method of order two (IMEX-BDF2) followed by radial basis function based finite difference (RBF-FD) method. The numerical scheme derived for European option is extended for American option by using operator splitting method. Numerical results for put and call option under Merton and Kou models are given to illustrate the efficiency and accuracy of the present method. The stability of time semi discretized scheme is also proved. (C) 2016 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：159 / 173

页数：15

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