文章基本信息

标题：A combined compact difference scheme for option pricing in the exponential jump-diffusion models
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作者：Rahman Akbari ; Reza Mokhtari ; Mohammad Taghi Jahandideh 等
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2019
卷号：2019
期号：1
页码：1-13
DOI：10.1186/s13662-019-2431-7
出版社：Hindawi Publishing Corporation
摘要：In the present paper, starting with the Black–Scholes equations, whose solutions are the values of European options, we describe the exponential jump-diffusion model of Levy process type. Here, a jump-diffusion model for a single-asset market is considered. Under this assumption the value of a European contingency claim satisfies a general “partial integro-differential equation” (PIDE). With a combined compact difference (CCD) scheme for the spatial discretization, a high-order method is proposed for solving exponential jump-diffusion models. The method is sixth-order accurate in space and second-order accurate in time. A known analytical solution to the model is used to evaluate the performance of the numerical scheme.
关键词：Black–Scholes equation ; Combined compact difference (CCD) ; Jump-diffusion model ; Option pricing ;