@Article{EAJAM-7-2,
author = {},
title = {Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models},
journal = {East Asian Journal on Applied Mathematics},
year = {2017},
volume = {7},
number = {2},
pages = {227--247},
abstract = {<p style="text-align: justify;">A class of finite volume methods is developed for pricing either European or
American options under jump-diffusion models based on a linear finite element space.
An easy to implement linear interpolation technique is derived to evaluate the integral
term involved, and numerical analyses show that the full discrete system matrices are
M-matrices. For European option pricing, the resulting dense linear systems are solved
by the generalised minimal residual (GMRES) method; while for American options the
resulting linear complementarity problems (LCP) are solved using the modulus-based
successive overrelaxation (MSOR) method, where the $H_+$-matrix property of the system
matrix guarantees convergence. Numerical results are presented to demonstrate the
accuracy, efficiency and robustness of these methods.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.260316.061016a},
url = {https://global-sci.com/article/82715/finite-volume-method-for-pricing-european-and-american-options-under-jump-diffusion-models}
}