Login New user?  
01-Applied Mathematics & Information Sciences
An International Journal
               
 
 
 
 
 
 
 
 
 
 
 
 
 

Content
 

Volumes > Volume 07 > No. 6

 
   

Options Pricing in Jump Diffusion Markets during Financial Crisis

PP: 2319-2326
Author(s)
Youssef El-Khatib, Mohamed Ali Hajji, Mohammed Al-Refai,
Abstract
In this paper, we suggest a jump diffusion model in markets during financial crisis. Using risk-neutral pricing, we derive a partial differential equation (P.D.E.) for the prices of European options. We find a closed form solution of the P.D.E. in the particular case where the stock price is too large. Then, we use such a solution as a boundary condition in the numerical treatment of the P.D.E. for any range of stock price. The numerical method adopted is the unconditionally stable Crank-Nicolson method. Illustrative examples are presented.

  Home   About us   News   Journals   Conferences Contact us Copyright naturalspublishing.com. All Rights Reserved