Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

<table class="figure-group"><tr class="fig-image" id="a"><td><object data="https://static.hindawi.com/articles/jam/volume-2015/960728/figures/960728.fig.003a.svgz" name="960728.fig.003a" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(a) </b><svg height="9.04777pt" id="M399" style="vertical-align:-0.04981995pt" version="1.1" viewbox="-0.0498162 -8.99795 11.0876 9.04777" width="11.0876pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,2.271,0)"><path d="M600 0V24L339 665L311 657L43 24V0H600ZM497 50H107L303 539L497 50Z" id="g113-133"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="641" vert-adv-y="641"></glyph.data></g></svg> as a function of <svg height="9.21094pt" id="M400" style="vertical-align:-0.2129908pt" version="1.1" viewbox="-0.0498162 -8.99795 6.51834 9.21094" width="6.51834pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z" id="g113-84"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="472" vert-adv-y="472"></glyph.data></g></svg> and <svg height="8.35422pt" id="M401" style="vertical-align:-0.2130003pt" version="1.1" viewbox="-0.0498162 -8.14122 4.73688 8.35422" width="4.73688pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,0,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z" id="g113-117"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="341" vert-adv-y="341"></glyph.data></g></svg></td></tr><tr class="fig-image" id="b"><td><object data="https://static.hindawi.com/articles/jam/volume-2015/960728/figures/960728.fig.003b.svgz" name="960728.fig.003b" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(b) </b><svg height="9.04777pt" id="M402" style="vertical-align:-0.04981995pt" version="1.1" viewbox="-0.0498162 -8.99795 6.99431 9.04777" width="6.99431pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,0,0)"><path d="M485 501C480 550 475 615 475 650H42V622C119 616 127 606 127 525V126C127 44 119 34 41 28V0H311V28C220 34 212 43 212 126V584C212 612 216 615 244 615H318C382 615 404 608 420 587C435 568 445 541 455 497L485 501Z" id="g113-132"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="507" vert-adv-y="507"></glyph.data></g></svg> as a function of <svg height="9.21094pt" id="M403" style="vertical-align:-0.2129908pt" version="1.1" viewbox="-0.0498162 -8.99795 6.51834 9.21094" width="6.51834pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z" id="g113-84"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="472" vert-adv-y="472"></glyph.data></g></svg> and <svg height="8.35422pt" id="M404" style="vertical-align:-0.2130003pt" version="1.1" viewbox="-0.0498162 -8.14122 4.73688 8.35422" width="4.73688pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0135,0,0,-0.0135,0,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z" id="g113-117"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="341" vert-adv-y="341"></glyph.data></g></svg></td></tr></table>

<div>The Greek parameters for European call option.</div>

Journal of Applied Mathematics

fig3

Figure 3

Figure 3: Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems 