Implicit-explicit numerical schemes for jump-diffusion processes (Articolo in rivista)

Type
Label
  • Implicit-explicit numerical schemes for jump-diffusion processes (Articolo in rivista) (literal)
Anno
  • 2007-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1007/s10092-007-0128-x (literal)
Alternative label
  • Briani M., Natalini R., Russo G. (2007)
    Implicit-explicit numerical schemes for jump-diffusion processes
    in Calcolo (Testo stamp.)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Briani M., Natalini R., Russo G. (literal)
Pagina inizio
  • 33 (literal)
Pagina fine
  • 57 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 44 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 1 (literal)
Note
  • Scopu (literal)
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • Luiss; IAC-CNR; Univ. Catania (literal)
Titolo
  • Implicit-explicit numerical schemes for jump-diffusion processes (literal)
Abstract
  • We study the numerical approximation of solutions for parabolic integro-differential equations (PIDE). Similar models arise in option pricing, to generalize the Black-Scholes equation, when the processes which generate the underlying stock returns may contain both a continuous part and jumps. Due to the non-local nature of the integral term, unconditionally stable implicit difference schemes are not practically feasible. Here we propose using implicit-explicit (IMEX) Runge-Kutta methods for the time integration to solve the integral term explicitly, giving higher-order accuracy schemes under weak stability time-step restrictions. Numerical tests are presented to show the computational efficiency of the approximation. (literal)
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