پديدآورندگان :
Foroush Bastani Ali xosro.safy@iasbs.ac.ir Department of Mathematics, Institute for Advanced Studies in Basic Science,Zanjan, Iran , Safy Xosro xosro.safy@iasbs.ac.ir Department of Mathematics, Institute for Advanced Studies in Basic Science,Zanjan, Iran , Mohagheghi Hadi xosro.safy@iasbs.ac.ir Department of Mathematics, Institute for Advanced Studies in Basic Science,Zanjan, Iran
كليدواژه :
Regime , Switching , Infinite Activity Lévy Process , Option Pricing , Finite Difference Method.
چكيده فارسي :
In this paper, we develop an efficient numerical procedure based on finite differences to approximate
the solution of a system of coupled partial integro-differential equations (PIDEs for short)
arising from option pricing. We consider an infinite activity switching Lévy process model as a
stochastic process of an underlying asset to evaluate financial derivatives
