2 papers
q-fin.CP2018
Compact finite difference method for pricing European and American options under jump-diffusion models
Kuldip Singh Patel, Mani Mehra
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and lin…
q-fin.CP2018
Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models
Kuldip Singh Patel, Mani Mehra
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the p…