Browsing Mathematics by Author "Ngounda, Edgard"
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Contour integral method for European options with jumps
Ngounda, Edgard; Patidar, Kailash C.; Pindza, Edson (Elsevier, 2013)We develop an efficient method for pricing European options with jump on a single asset. Our approach is based on the combination of two powerful numerical methods, the spectral domain decomposition method and the Laplace ... -
Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
Pindza, Edson; Patidar, Kailash C.; Ngounda, Edgard (Kent State University, 2013)In this paper we present a robust numerical method to solve several types of European style option pricing problems. The governing equations are described by variants of Black-Scholes partial differential equations (BS-PDEs) ...