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Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market |
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| Authors: | Ionu? Florescu Granville Sewell |
| Institution: | 1. Department of Mathematical Sciences, Stevens Institute of Technology, Castle Point on Hudson, Hoboken, NJ 07030, USA.;2. Department of Mathematical Sciences, The University of Texas at El Paso, Bell Hall 124, El Paso, TX 79968-0514, USA. |
| Abstract: | We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver. |
| Keywords: | Applied mathematical finance Jump-diffusion processes Numerical methods for option pricing Partial differential equations |