AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL

被引：0

作者：

Lee, Chaeyoung ^{[1
]}

Wang, Jian ^{[1
]}

Jang, Hanbyeol ^{[2
]}

Han, Hyunsoo ^{[2
]}

Lee, Seongjin ^{[2
]}

Lee, Wonjin ^{[2
]}

Yang, Kisung ^{[3
]}

Kim, Junseok ^{[1
]}

机构：

[1] Korea Univ, Dept Math, Seoul 02841, South Korea

[2] Korea Univ, Dept Financial Engn, Seoul 02841, South Korea

[3] Soongsil Univ, Sch Finance, Coll Business Adm, Seoul 06978, South Korea

来源：

JOURNAL OF THE KOREAN SOCIETY OF MATHEMATICAL EDUCATION SERIES B-PURE AND APPLIED MATHEMATICS | 2020年 / 27卷 / 04期

关键词：

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

D O I：

10.7468/jksmeb.2020.27.4.231

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We present an efficient and robust finite difference method for a two-asset jump diffusion model, which is a partial integro-differential equation (PIDE). 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. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.

引用

页码：231 / 249

页数：19

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