학술논문
COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
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- 영문명
- 발행기관
- 충청수학회
- 저자명
- Ahram Lee Younhee Lee
- 간행물 정보
- 『Journal of the Chungcheong Mathematical Society』Volume 29, No. 3, 503~508쪽, 전체 6쪽
- 주제분류
- 자연과학 > 자연과학일반
- 파일형태
- 발행일자
- 2016.08.30
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국문 초록
We propose a number of finite dfference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-dfferential equation (PIDE) are based on three time levels in order to avoid fixed point iterations arising from an integral operator. Numerical simulations are carried out to compare these methods with each other for pricing the European option under the CGMY model.
영문 초록
목차
1. Introduction
2. The CGMY option pricing model
3. Numerical schemes for option pricing
4. Numerical simulations
5. Conclusion
해당간행물 수록 논문
- CHARACTERIZATIONS OF PARETO, WEIBULL AND POWER FUNCTION DISTRIBUTIONS BASED ON GENERALIZED ORDER STATISTICS
- STUDY ON THE ARITHMETIC OF MODULAR FORMS
- THE COMPLETE MOMENT CONVERGENCE FOR WEIGHTED SUMS OF STOCHASTICALLY DOMINATED PNQD RANDOM VARIABLES
- A FIXED POINT APPROACH TO STABILITY OF ADDITIVE FUNCTIONAL INEQUALITIES IN FUZZY NORMED SPACES
- ON EXACT SOLUTIONS FOR IMPULSIVE DIFFERENTIAL EQUATIONS WITH NON-INTEGER ORDERS
- OPTIMALITY AND DUALITY FOR NONDIFFERENTIABLE FRACTIONAL PROGRAMMING WITH GENERALIZED INVEXITY
- COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
- UNIQUE POINT OF COINCIDENCE FOR TWO MAPPINGS WITH ϕ- OR ψ-φ-CONTRACTIVE CONDITIONS ON 2-METRIC SPACES
- SYMMETRIC BI-f -MULTIPLIERS OF INCLINE ALGEBRAS
- UNIFORMLY LIPSCHITZ STABILITY AND ASYMPTOTIC BEHAVIOR OF PERTURBED DIFFERENTIAL SYSTEMS
- ALMOST OPEN AND ALMOST HOMEOMORPHISMS
- SYMMETRIC BI-(f, g)-DERIVATIONS IN LATTICES
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