Communications in Mathematical Sciences

Volume 4 (2006)

Number 1

Asymptotic high-order schemes for integro-differential problems arising in markets with jumps

Pages: 81 – 96

DOI: http://dx.doi.org/10.4310/CMS.2006.v4.n1.a3

Authors

Maya Briani

Roberto Natalini

Abstract

In this paper we deal with the numerical approximation of integro-differential equations arising in financial applications in which jump processes act as the underlying stochastic processes. Our aim is to find finite differences schemes which are high-order accurate for large time regimes.Therefore, we study the asymptotic time behavior of such equations and we define as asymptotic high-order schemes those schemes that are consistent with this behavior. Numerical tests are presented to investigate the efficiency and the accuracy of such approximations.

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