期刊论文

Wang, Wansheng

英文

Journal of Computational and Applied Mathematics

0377-0427

2017

318

79-92

10.1016/j.cam.2016.11.038

This work was supported by the Natural Science Foundation of China (Grant No. 11371074), the Hunan Provincial Natural Science Foundation of China (Grant No. 13JJ1020), the Research Foundation of Education Bureau of Hunan Province, China (Grant No. 13A108), and the Open Fund Project of Key Research Institute of Philosophies and Social Sciences in Hunan Universities.

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In this paper, we consider discontinuous Galerkin (DG) finite element together with finite difference (FD) scheme for solving Merton's jump–diffusion model, which is given by a partial integro-differential equations (PIDEs). Spatial differential operators are discretized using FD on a uniform grid, and time stepping is performed using the DG finite element method. The treatment of the integral term associated with jumps in models is more challenging. The discretization of this integral term will lead to full matrices for the non-locality of th...