학술저널
COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 29, No. 3
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2016.08503 - 508 (6 pages)
- 0
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.
1. Introduction
2. The CGMY option pricing model
3. Numerical schemes for option pricing
4. Numerical simulations
5. Conclusion
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