IMEX Method For A Market With Jumps
碩士 === 國立臺灣大學 === 數學研究所 === 96 === This paper mainly discusses how to use the IMEX method to price options on a market with jumps. In addition to the first order method, we will discuss the IMEX Runge-Kutta method which is a higher order scheme. Finally, we will use the numerical examples to discus...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29129991175573975276 |
| Summary: | 碩士 === 國立臺灣大學 === 數學研究所 === 96 === This paper mainly discusses how to use the IMEX method to price options on a market with jumps. In addition to the first order method, we will discuss the IMEX Runge-Kutta method which is a higher order scheme. Finally, we will use the numerical examples to discuss the advantage of the IMEX Runge-Kutta method.
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