Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL

  • Lee, Ahram (Department of Mathematics Chungnam National University) ;
  • Lee, Younhee (Department of Mathematics Chungnam National University)
  • Received : 2016.06.28
  • Accepted : 2016.07.29
  • Published : 2016.08.15
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Abstract

We propose a number of finite difference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-differential 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.

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References

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