A combined compact difference scheme for option pricing in the exponential jump-diffusion models
Abstract 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 o...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-12-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13662-019-2431-7 |