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Abstract and Applied Analysis
Volume 2012 (2012), Article ID 120358, 20 pages
Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models
Instituto de Matemática Multidisciplinar, Universitat Politècnica de València, Camino de Vera s/n,
46022 Valencia, Spain
Received 10 September 2012; Revised 7 November 2012; Accepted 7 November 2012
Academic Editor: Carlos Vazquez
Copyright © 2012 M.-C. Casabán et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citations to this Article [3 citations]
The following is the list of published articles that have cited the current article.
- R. Company, L. Jódar, and M. Fakharany, “Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes,” Abstract and Applied Analysis, vol. 2013, pp. 1–11, 2013.
- Shengwu Zhou, Lei Han, Wei Li, Yan Zhang, and Miao Han, “A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process,” Computational and Applied Mathematics, 2014.
- M. Fakharany, R. Company, and L. Jódar, “Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems,” Journal of Applied Mathematics, vol. 2015, pp. 1–10, 2015.