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Positive solutions of European option pricing with CGMY process models using double discretization difference schemes. (English) Zbl 1291.91231

Summary: This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples.

MSC:

91G60 Numerical methods (including Monte Carlo methods)
91G20 Derivative securities (option pricing, hedging, etc.)
35R09 Integro-partial differential equations
65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
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