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Numerical valuation of European and american options under Kou’s jump-diffusion model. (English) Zbl 1178.35225
In this paper a numerical valuation of European and American options under Kou’s jump-diffusion is developed. After a detailed theoretical development a number of experiments are developed and illustrated the theory in practice. Numerical experiments confirm that the developed methods are very efficient as fairly accurate option prices can be computed in a few milliseconds on a PC.
MSC:
35K85Linear parabolic unilateral problems; linear parabolic variational inequalities
65M06Finite difference methods (IVP of PDE)
35Q91PDEs in connection with game theory, economics, social and behavioral sciences
91G80Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)
91B25Asset pricing models
35A35Theoretical approximation to solutions of PDE