scholarly journals Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

2013 ◽  
Vol 2013 ◽  
pp. 1-11 ◽  
Author(s):  
R. Company ◽  
L. Jódar ◽  
M. Fakharany
Keyword(s):  
Option Pricing ◽  
Explicit Scheme ◽  
Process Models ◽  
European Option ◽  
Pricing Models ◽  
European Option Pricing ◽  
Change Of Variables ◽  
Discretization Schemes ◽  
Suitable Change ◽  
Stability And Consistency

This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples.

scholarly journals Mathematical model of European option pricing in incomplete market without transaction costs (discrete time ). Part II.

2020 ◽  
Vol 20 (2) ◽  
pp. 5-22
Author(s):  
Zverev Oleg ◽  
◽  
Khametov Vladimir ◽  
Shelemekh Elena ◽  
◽  
...  
Keyword(s):  
Mathematical Model ◽  
Option Pricing ◽  
Transaction Costs ◽  
Discrete Time ◽  
European Option ◽  
Pricing Models ◽  
One Dimensional ◽  
European Option Pricing ◽  
Special Cases ◽  
Time Part

This is the second part of the paper. Here general model of the first part is implemented to design pricing models for special cases of one-dimensional incomplete final market and compact (1; S)-market.

Comparison of European Option Pricing Models at Multiple Periods

2021 ◽  
pp. 149-166
Author(s):  
Amir Ahmad Dar ◽  
N. Anuradha ◽  
Ziadi Nihel
Keyword(s):  
Option Pricing ◽  
Graphical Representation ◽  
European Option ◽  
Pricing Models ◽  
European Option Pricing ◽  
Black Scholes Model ◽  
Time Period ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Anderson Darling

The point of this chapter is to think about the correlation of two well-known European option pricing models – Black Scholes Model and Binomial Option Pricing Model. The above two models not statistically significant at one period. In this examination, it is shown how the above two European models are statistically significant when the time period increases. The independent paired t-test is utilized with the end goal to demonstrate that they are statistically significant to vary from one another at higher time period and the Anderson Darling test being used for the normality test. The Minitab and Excel programming has been utilized for graphical representation and the hypothesis testing.

scholarly journals Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

2015 ◽  
Vol 2015 ◽  
pp. 1-10
Author(s):  
M. Fakharany ◽  
R. Company ◽  
L. Jódar
Keyword(s):  
Option Pricing ◽  
Numerical Solution ◽  
Numerical Solutions ◽  
Stable Process ◽  
Integration Formula ◽  
Pricing Models ◽  
Integral Term ◽  
Pricing Problems ◽  
Stability And Consistency ◽  
Partial Integrodifferential Equation

This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.

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