IMEX Method For A Market With Jumps
Date Issued
2008
Date
2008
Author(s)
Chang, You-Chen
Abstract
This paper mainly discusses how to use the IMEX method to price options on a market with jumps. In addition to the first order method, we will discuss the IMEX Runge-Kutta method which is a higher order scheme. Finally, we will use the numerical examples to discuss the advantage of the IMEX Runge-Kutta method.
Subjects
Finite difference method
Jump diffusion process
IMEX method
Unconditionally stable
Fast Fourier transform
Runge-Kutta scheme
Type
thesis
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ntu-97-R94221033-1.pdf
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