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

<table>The variation of <svg height="11.375" id="M305" style="vertical-align:-0.20064pt" version="1.1" viewbox="0 0 12.7375 11.375" width="12.7375" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.112)"><path d="M730 650l-8 -28q-52 -4 -72 -18t-64 -77q-79 -113 -321 -539h-33l-119 541q-13 59 -29.5 73t-66.5 20l7 28h245l-8 -28l-28 -5q-33 -6 -40.5 -15.5t-0.5 -38.5l102 -450h2q191 320 246 430q21 42 15.5 56t-43.5 19l-31 4l7 28h240z" id="x1D449"></path></g>
</svg> with <svg height="11.75" id="M306" style="vertical-align:-0.1254pt" version="1.1" viewbox="0 0 8.2875004 11.75" width="8.2875004" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.4)"><path d="M457 488l-30 -3q-17 148 -131 148q-53 0 -84.5 -34.5t-31.5 -82.5q0 -42 25.5 -72t74.5 -62l33 -22q63 -42 95 -85t32 -102q0 -84 -67 -137t-163 -53q-58 0 -113 22t-70 43l-4 152l27 4q4 -32 15 -62.5t31 -59.5t53.5 -47t76.5 -18q56 0 92 35t36 96q0 39 -25 70t-78 68
l-31 22q-32 23 -53.5 41.5t-45 57t-23.5 77.5q0 82 58 132.5t156 50.5q46 0 101 -17l18.5 -6t17 -6t8.5 -3q-4 -55 0 -147z" id="x1D446"></path></g>
</svg> for several values of <svg height="11.175" id="M307" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 11.6625 11.175" width="11.6625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.113)"><path d="M667 650l-9 -28q-53 -5 -76 -17t-64 -59q-51 -61 -175 -225q-21 -29 -27 -55l-27 -136q-13 -65 -0.5 -80t83.5 -22l-7 -28h-280l8 28q64 4 81 19t30 83l25 128q6 35 -7 65l-98 231q-17 41 -32.5 52t-68.5 16l8 28h252l-6 -28l-40 -4q-27 -3 -33 -12.5t2 -31.5
q8 -26 43 -107.5t61 -134.5q114 145 174 240q14 24 8 33t-37 13l-34 4l8 28h238z" id="x1D44C"></path></g>
</svg>.</table>

Abstract and Applied Analysis

fig1

Figure 1

Figure 1: Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes 