دانشگاه علامه طباطبایی

  اخبار و اعلانات

 آمار

تعداد نشریات62
تعداد شماره‌ها2,238
تعداد مقالات18,405
تعداد مشاهده مقاله56,421,270
تعداد دریافت فایل اصل مقاله29,172,789
Karami, Parisa, Safdari, Ali. (1399). Finite difference method for basket option pricing under Merton model. سامانه مدیریت نشریات علمی, 1(1), 49-52. doi: 10.22054/jmmf.2021.56261.1018
Parisa Karami; Ali Safdari. "Finite difference method for basket option pricing under Merton model". سامانه مدیریت نشریات علمی, 1, 1, 1399, 49-52. doi: 10.22054/jmmf.2021.56261.1018
Karami, Parisa, Safdari, Ali. (1399). 'Finite difference method for basket option pricing under Merton model', سامانه مدیریت نشریات علمی, 1(1), pp. 49-52. doi: 10.22054/jmmf.2021.56261.1018
Karami, Parisa, Safdari, Ali. Finite difference method for basket option pricing under Merton model. سامانه مدیریت نشریات علمی, 1399; 1(1): 49-52. doi: 10.22054/jmmf.2021.56261.1018

Finite difference method for basket option pricing under Merton model

Journal of Mathematics and Modeling in Finance
دوره 1، شماره 1، خرداد 2021، صفحه 49-52    اصل مقاله (156.4 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2021.56261.1018
نویسندگان
Parisa Karami* 1؛ Ali Safdari2
1Department of Matematics, Allameh Tabataba`i University,Tehran, Iran
2Department of Mathematics, Allameh Tabataba'i University
چکیده
In financial markets , dynamics of underlying assets are often specified via stochastic
differential equations of jump - diffusion type . In this paper , we suppose that two financial
assets evolved by correlated Brownian motion . The value of a contingent claim written on two
underlying assets under jump diffusion model is given by two - dimensional parabolic partial
integro - differential equation ( P I D E ) , which is an extension of the Black - Scholes equation with
a new integral term . We show how basket option prices in the jump - diffusion models , mainly
on the Merton model , can be approximated using finite difference method . To avoid a dense
linear system solution , we compute the integral term by using the Trapezoidal method . The
numerical results show the efficiency of proposed method .
Keywords: basket option pricing, jump-diffusion models, finite difference method.
کلیدواژه‌ها
Merton model؛ stochastic differential equations؛ Black-Scholes equation؛ Brownian motion
مراجع
[1] F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Polit. Econ., 81 (3) (1973), 637{144.
[2] R. Merton, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3 (1976), 125{144.
[3] S. S. Clift and P. A. Forsyth, Numerical solution of two asset jump diffusion models for options valuation, Appl. Numer. Math., 58 (2008), 743{782.

[4] Y. d'Halluin, P. A. Forsyth, and K. R. Vetzal, Robust numerical methods for contingent claims under jump diffusion processes, Journal of IMA Journal of Numerical Analysis, 25 (1) (2005), 87{112.

آمار
تعداد مشاهده مقاله: 1,231
تعداد دریافت فایل اصل مقاله: 948


سامانه مدیریت نشریات علمی. طراحی و پیاده سازی از سیناوب
login