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The Scientific World Journal
Volume 2013, Article ID 963625, 12 pages
Research Article

Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach

1Department of Informatics, Russian Customs Academy Rostov Branch, Budennovskiy 20, Rostov-on-Don 344002, Russia
2Faculty of Mathematics, Mechanics and Computer Science, Southern Federal University, Miltchakova 8A, Rostov-on-Don 344090, Russia

Received 5 August 2013; Accepted 24 September 2013

Academic Editors: W. Fei and W. Zhou

Copyright © 2013 Oleg Kudryavtsev. 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.

  • Darae Jeong, Seungsuk Seo, Hyeongseok Hwang, Dongsun Lee, Yongho Choi, and Junseok Kim, “Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations,” Discrete Dynamics in Nature and Society, vol. 2015, pp. 1–10, 2015. View at Publisher · View at Google Scholar
  • Oleg Kudryavtsev, “Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models,” Boletín de la Sociedad Matemática Mexicana, 2016. View at Publisher · View at Google Scholar
  • Sumei Zhang, “Finite difference method for barrier option pricing under stochastic volatility,” Liaoning Gongcheng Jishu Daxue Xuebao (Ziran Kexue Ban)/Journal of Liaoning Technical University (Natural Science Edition), vol. 36, no. 10, pp. 1111–1115, 2017. View at Publisher · View at Google Scholar