학술저널
BARRIER OPTIONS UNDER THE MFBM WITH JUMPS : APPLICATION OF THE BDF2 METHOD
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 33, No. 1
-
2020.02165 - 171 (7 pages)
- 5
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.
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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