IMEX-MCNAB Scheme for Pricing European Options under Kou's Jump-Diffusion Models
Xiangyu Jia, Zuoliang Xu
Available Online April 2018.
- https://doi.org/10.2991/etmhs-18.2018.115How to use a DOI?
- implicit-explicit methods; linear multistep methods; jump-diffusion model; option pricing; Fourier stability analysis
- We consider IMEX-MCNAB time discretization scheme for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The scheme is defined by a convex combination parameter, which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. This scheme is studied through Fourier stability analysis. It is found that, under suitable assumptions and time step restrictions, the IMEX-MCNAB scheme is conditionally stable. Numerical experiments show the effectiveness of the proposed method.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiangyu Jia AU - Zuoliang Xu PY - 2018/04 DA - 2018/04 TI - IMEX-MCNAB Scheme for Pricing European Options under Kou's Jump-Diffusion Models BT - 2018 4th International Conference on Education Technology, Management and Humanities Science (ETMHS 2018) PB - Atlantis Press SP - 545 EP - 552 SN - 2352-5398 UR - https://doi.org/10.2991/etmhs-18.2018.115 DO - https://doi.org/10.2991/etmhs-18.2018.115 ID - Jia2018/04 ER -