On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models  

作　　者：Xiaoting Gan Junfeng Yin Rui Li 

机构地区：[1]School of Mathematics and Computer Science,Chuxiong Normal University,Chuxiong,Yunnan 675000,China [2]School of Mathematical Sciences,Tongji University,Shanghai 200092,China [3]College of Mathematics Physics and Information Engineering,Jiaxing University,Jiaxing,Zhejiang 314001,China

出　　处：《Advances in Applied Mathematics and Mechanics》2023年第5期1290-1314,共25页应用数学与力学进展（英文）

基　　金：supported by the National Natural Science Foundation of China(Nos.11971354,and 11701221);the Special Basic Cooperative Research Programs of Yunnan Provincial Undergraduate Universities’Association(No.2019FH001-079);the Fundamental Research Funds for the Central Universities(No.22120210555).

摘　　要：In this paper,we construct and analyze a Crank-Nicolson fitted finite volume scheme for pricing European options under regime-switching Kou’s jumpdiffusion model which is governed by a system of partial integro-differential equations(PIDEs).We show that this scheme is consistent,stable and monotone as the mesh sizes in space and time approach zero,hence it ensures the convergence to the solution of continuous problem.Finally,numerical experiments are performed to demonstrate the efficiency,accuracy and robustness of the proposed method.

关 键 词：European option pricing regime-switching Kou’s jump-diffusion model partial integro-differential equation fitted finite volume method Crank-Nicolson scheme 

分 类 号：O24[理学—计算数学]