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Zbl 1178.35225
Toivanen, Jari
Numerical valuation of European and american options under Kou's jump-diffusion model. (English)
[J] SIAM J. Sci. Comput. 30, No. 4, 949-1970 (2008). ISSN 1064-8275; ISSN 1095-7197/e

In this paper a numerical valuation of European and American options under Kou's jump-diffusion is developed. After a detailed theoretical development a number of experiments are developed and illustrated the theory in practice. Numerical experiments confirm that the developed methods are very efficient as fairly accurate option prices can be computed in a few milliseconds on a PC.
[Prabhat Kumar Mahanti (Saint John)]

MSC 2000:: *35K85 Unilateral problems; variational inequalities (parabolic type)
65M06 Finite difference methods (IVP of PDE)
35Q91
91G80
91B25
35A35 Theoretical approximation to solutions of PDE

Keywords: option pricing; linear complementary; finite difference; penalty method; operator splitting

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