4 papers · 1 filter
Estimation of domain truncation error for a system of PDEs arising in option pricing
Anindya Goswami, Kuldip Singh Patel
In this paper, a multidimensional system of parabolic partial differential equations arising in European option pricing under a regime-switching market model is studied in details.…
Matrix method stability and robustness of compact schemes for parabolic PDEs
Anindya Goswami, Kuldip Singh Patel
The fully discrete problem for convection-diffusion equation is considered. It comprises compact approximations for spatial discretization, and Crank-Nicolson scheme for temporal d…
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…
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…