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A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL
- Jeong, Darae;
- Kim, Young Rock;
- Lee, Seunggyu;
- Choi, Yongho;
- Lee, Woong-Ki;
- ... Kim, Junseok;
- 외 3명
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1초록
We propose a fast and robust finite difference method for Merton`s jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model.
키워드
jump-diffusion; Simpson's rule; non-uniform grid; implicit finite difference method; derivative securities
- 제목
- A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL
- 저자
- Jeong, Darae; Kim, Young Rock; Lee, Seunggyu; Choi, Yongho; Lee, Woong-Ki; Shin, Lae-Man; An, Hyo-Rim; Hwang, Hyeongseok; Kim, Junseok
- 발행일
- 2015-05
- 유형
- Article
- 저널명
- 순수 및 응용수학
- 권
- 22
- 호
- 2
- 페이지
- 159 ~ 168