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- W2531280155 abstract "We propose a number of finite difference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-differential equation (PIDE) are based on three time levels in order to avoid fixed point iterations arising from an integral operator. Numerical simulations are carried out to compare these methods with each other for pricing the European option under the CGMY model." @default.
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- W2531280155 date "2016-08-15" @default.
- W2531280155 modified "2023-10-16" @default.
- W2531280155 title "COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL" @default.
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- W2531280155 doi "https://doi.org/10.14403/jcms.2016.29.3.503" @default.
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