An Implicit-Explicit Computational Method Based on Time Semi-Discretization for Pricing Financial Derivatives with Jumps

• 作者: Yang Wang
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: SVJ Model of Bates Time SEMI-DISCRETIZATION Stability NO-ARBITRAGE Principle Implicit-Explicit BACKWARD Difference Method
• 年，卷（期）: 2018,（2）
• 页码范围: 334-344
• 页数: 11页
• 分类号: O1

摘要

This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that the value of any European contingent claim should satisfy, where the asset price obeys the SVJ model. This equation is numerically solved by using the implicit- explicit backward difference method and time semi-discretization. In order to explain the validity of our method, the stability of time semi-discretization scheme is also proved. Finally, we use a simulation example to illustrate the efficiency of the method.