Numerical solution of non-local PDEs arising in Finance.
It is a well known fact that the value of an option on an asset following a Levy jump-process, can be found by solving a Partial Integro-Differential Equation (PIDE). In this project, two new schemes are presented to solve these kinds of PIDEs when the underlying Levy process is of infinite activity...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2009
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9935 |