한국수학교육학회지시리즈B:순수및응용수학 (The Pure and Applied Mathematics)

  • 제27권4호
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  • Pages.231-249
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  • 2020
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  • 1226-0657(pISSN)
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  • 2287-6081(eISSN)
한국수학교육학회 (Korean Society of Mathematical Education)
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AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL

  • Lee, Chaeyoung (Department of Mathematics, Korea University) ;
  • Wang, Jian (Department of Mathematics, Korea University) ;
  • Jang, Hanbyeol (Department of Financial Engineering, Korea University) ;
  • Han, Hyunsoo (Department of Financial Engineering, Korea University) ;
  • Lee, Seongjin (Department of Financial Engineering, Korea University) ;
  • Lee, Wonjin (Department of Financial Engineering, Korea University) ;
  • Yang, Kisung (School of Finance, College of Business Administration) ;
  • Kim, Junseok (Department of Mathematics, Korea University)
  • 투고 : 2020.02.21
  • 심사 : 2020.09.01
  • 발행 : 2020.11.30
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초록

We present an efficient and robust finite difference method for a two-asset jump diffusion model, which is a partial integro-differential equation (PIDE). 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. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.

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참고문헌

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