Multigrid method for pricing European options under the CGMY process
We propose a fast multigrid method for solving the discrete partial integro-differential equations (PIDEs) arising from pricing European options when the underlying asset is driven by an infinite activity Lévy process. We consider the CGMY model whose kernel singularity gets worse when the parameter...
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| Format: | Article |
| Language: | English |
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AIMS Press
2019-12-01
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| Series: | AIMS Mathematics |
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| Online Access: | https://www.aimspress.com/article/10.3934/math.2019.6.1745/fulltext.html |