An Implicit Double Discretization Method for Pricing Options under Metron’s Jumpdiffusion Model
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Author:
- DOU Quanyu
DOU Quanyu
School of Mathematical Sciences, Tongji University, Shanghai 200092, China
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Search for this author on this site - YIN Junfeng
YIN Junfeng
School of Mathematical Sciences, Tongji University, Shanghai 200092, China
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Search for this author on this site - GAN Xiaoting
GAN Xiaoting
School of Mathematical Sciences, Tongji University, Shanghai 200092, China; School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, China
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Clc Number:
O241.8
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Abstract:
An implicit double discretization method is developed for pricing European and American options under Merton's jumpdiffusion model. Stability of the method is discussed. Numerical experiments show that the proposed method is effective and robust, and has advantages over the explicit scheme.
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DOU Quanyu, YIN Junfeng, GAN Xiaoting. An Implicit Double Discretization Method for Pricing Options under Metron’s Jumpdiffusion Model[J].同济大学学报(自然科学版),2017,45(02):0302~
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History
- Received:April 19,2016
- Revised:November 18,2016
- Adopted:August 23,2016
- Online: March 07,2017
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