[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14403/jcms.2016.29.3.503

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)

Publication Information

Journal of the Chungcheong Mathematical Society / v.29, no.3, 2016 , pp. 503-508 More about this Journal

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.

Keywords

option pricing; infinite activity $L{\acute{e}}vy$ model; finite difference method;

Citations & Related Records

Reference

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