Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorizat...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2013-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2013/963625 |