Print Email Facebook Twitter Accurate Evaluation of European and American Options Under the CGMY Process Title Accurate Evaluation of European and American Options Under the CGMY Process Author Almendral, A. Oosterlee, C.W. Faculty Electrical Engineering, Mathematics and Computer Science Department Delft Institute of Applied Mathematics Date 2007-01-16 Abstract A finite?difference method for integro?differential equations arising from Lévy driven asset processes in finance is discussed. The equations are discretized in space by the collocation method and in time by an explicit backward differentiation formula. The discretization is shown to be second?order accurate for a relevant parameter range determining the degree of the singularity in the Lévy measure. The singularity is dealt with by means of an integration by parts technique. An application of the fast Fourier transform gives the overall amount of work $O(N_t N\log N)$, rendering the method fast. Subject partial integro?differential equationscollocation methodoption pricing To reference this document use: http://resolver.tudelft.nl/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82 DOI https://doi.org/10.1137/050637613 Publisher Society for Industrial and Applied Mathematics ISSN 1064-8275 Source SIAM Journal on Scientific Computing, 29 (1), 2007 Part of collection Institutional Repository Document type journal article Rights (c) 2007 Society for Industrial and Applied Mathematics Files PDF Oosterlee2007.pdf 3.99 MB Close viewer /islandora/object/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82/datastream/OBJ/view