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

<table>The associated error for various values of <svg height="12.4375" id="M419" style="vertical-align:-0.1254pt" version="1.1" viewbox="0 0 8.8999996 12.4375" width="8.8999996" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M499 88q-41 -46 -83.5 -73t-68.5 -27q-41 0 -19 98l52 225q10 43 8 59.5t-16 16.5q-37 0 -112 -65t-117 -135q-14 -42 -38 -179q-36 -7 -75 -20l-7 8l127 594q8 40 2.5 49t-35.5 9h-35l5 25q36 3 71.5 13t56.5 18t25 8q11 0 3 -38l-88 -417h2q77 102 195 167q44 24 79 24
q61 0 30 -130l-52 -220q-8 -33 4 -33q8 0 31 14.5t43 33.5z" id="x210E"></path></g>
</svg>.</table>

Abstract and Applied Analysis

fig3

Figure 3

Figure 3: Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes 