학술논문
BARRIER OPTIONS UNDER THE MFBM WITH JUMPS : APPLICATION OF THE BDF2 METHOD
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- 영문명
- 발행기관
- 충청수학회
- 저자명
- Heungsu Choi Younhee Lee
- 간행물 정보
- 『Journal of the Chungcheong Mathematical Society』Volume 33, No. 1, 165~171쪽, 전체 7쪽
- 주제분류
- 자연과학 > 자연과학일반
- 파일형태
- 발행일자
- 2020.02.28
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국문 초록
영문 초록
In this paper we consider a mixed fractional Brownian motion (mfBm) with jumps. The prices of European barrier options can be evaluated by solving a partial integro-differential equation (PIDE) with variable coefficients, which is derived from the mfBm with jumps. The 2-step backward differentiation formula (BDF2 method) proposed in [6] is applied with the second-order convergence rate in the time and spatial variables. Numerical simulations are carried out to observe the convergence behaviors of the BDF2 method under the mfBm with the Kou model.
목차
1. Introduction
2. Option pricing model under the mfBm with jumps
3. The BDF2 method for barrier option pricing
4. Numerical simulations
5. Conclusion
References
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- FREE ACTIONS OF FINITE GROUPS ON 3-DIMENSIONAL NILMANIFOLDS WITH HOMOTOPICALLY TRIVIAL TRANSLATIONS
- WEIGHT ENUMERATORS OF TWO CLASSES OF LINEAR CODES
- HARMONIC FINSLER METRICS ON SPHERES
- A NOTE ON COMPLETE MOMENT CONVERGENCE FOR m-PNQD RANDOM VARIABLES
- BARRIER OPTIONS UNDER THE MFBM WITH JUMPS : APPLICATION OF THE BDF2 METHOD
- STABILITY OF A QUADRATIC-CUBIC-QUARTIC FUNCTIONAL EQUATION
- THE INTEGRATION BY PARTS FOR THE AP-HENSTOCK INTEGRAL
- DYNAMICAL PROPERTIES ON ITERATED FUNCTION SYSTEMS
- MINIMIZATION OF THE DENSE SUBSET
- A FIXED POINT APPROACH TO THE STABILITY OF AN ADDITIVE-QUADRATIC-QUARTIC FUNCTIONAL EQUATION
- HYPERSTABILITY OF A SUM FORM FUNCTIONAL EQUATION RELATED DISTANCE MEASURES
- THE m-STEP COMPETITION GRAPHS OF d-PARTIAL ORDERS
- BOUNDEDNESS OF THE SPECTRA OF BASE FUNCTIONS FOR NEW SPACES
- EXISTENCE OF POSITIVE SOLUTIONS OF PREDATOR-PREY SYSTEMS WITH DEGENERATE DIFFUSION RATES
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