A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

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ZAMANI SHIVA; ZARGARI B.

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Journal: INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN) Year:2008 | Volume:19 | Issue:7 Page(s): 87-93

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Title

A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

Author(s)

ZAMANI SHIVA | ZARGARI B. | Issue Writer Certificate

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Abstract

In stochastic volatility models, European option prices are solutions to parabolic differential equations. In this paper we propose a finite difference scheme for solving these equations numerically. We prove the stability and convergence of this method in norm infinity. Then we use the ADL method to separate the operators, this allows us to apply Thomas algorithm to solve the corresponding linear systems in each step.

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APA: Copy

ZAMANI, SHIVA, & ZARGARI, B.. (2008). A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS. INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN), 19(7), 87-93. SID. https://sid.ir/paper/65929/en

Vancouver: Copy

ZAMANI SHIVA, ZARGARI B.. A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS. INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN)[Internet]. 2008;19(7):87-93. Available from: https://sid.ir/paper/65929/en

IEEE: Copy

SHIVA ZAMANI, and B. ZARGARI, “A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS,” INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN), vol. 19, no. 7, pp. 87–93, 2008, [Online]. Available: https://sid.ir/paper/65929/en

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