Asymptotic High-order schemes for integrodifferential problems arising in markets with jumps (2006)
| Citations: | 2 - 1 self |
BibTeX
@MISC{Briani06asymptotichigh-order,
author = {Maya Briani and Roberto Natalini},
title = {Asymptotic High-order schemes for integrodifferential problems arising in markets with jumps },
year = {2006}
}
Bookmark
 |
 |
 |
 |
 |
 |
OpenURL
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.
