Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
Briani, Maya ; Natalini, Roberto
Commun. Math. Sci., Tome 4 (2006) no. 1, p. 81-96 / Harvested from Project Euclid
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In this paper we deal with the numerical approximation of integro-differential equations arising in financial applications in which jump processes act as the underlying stochastic processes. Our aim is to find finite differences schemes which are high-order accurate for large time regimes.Therefore, we study the asymptotic time behavior of such equations and we define as asymptotic high-order schemes those schemes that are consistent with this behavior. Numerical tests are presented to investigate the efficiency and the accuracy of such approximations.
Publié le : 2006-03-14
Classification:  
@article{1145905938,
     author = {Briani, Maya and Natalini, Roberto},
     title = {Asymptotic high-order schemes for integro-differential problems
 arising in markets with jumps},
     journal = {Commun. Math. Sci.},
     volume = {4},
     number = {1},
     year = {2006},
     pages = { 81-96},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1145905938}
}

Briani, Maya; Natalini, Roberto. Asymptotic high-order schemes for integro-differential problems
 arising in markets with jumps. Commun. Math. Sci., Tome 4 (2006) no. 1, pp.  81-96. http://gdmltest.u-ga.fr/item/1145905938/