This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integral transform. The solution is a single integral expression independent of the distribution of the jump size. We also derive analytical expressions for the Greeks. The results are implemented and compa...

in this paper rationalized haar (rh) functions method is applied to approximate the numerical solution of the fractional volterra integro-differential equations (fvides). the fractional derivatives are described in caputo sense. the properties of rh functions are presented, and the operational matrix of the fractional integration together with the product operational matrix are used to reduce t...

The exponential Euler method is a nonstandard approximation scheme that was developed specifically for the Hodgkin-Huxley differential equation models that arise in neuroscience and was one of the discretization schemes used in the neural systems package called GENESIS. In this article, we show the scheme is first order accurate, develop a second order accurate extension, and suggest ways the m...

We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuoussemimartingale. This result generalizes Dupire’s forward equation to a large class of non-Markovian models with jumps and allows to retrieve various forward equations previously obtained for ...

: : In this paper, we present a new approach to resolve linear weakly-singular partial integro-differential equations by first removing the singularity using Taylor's approximation and transform the given partial integrodifferential equations into an partial differential equation. After that the fourth order compact finite difference scheme and collocation method is presented to obtain system o...

In this study‎, ‎an efficient method is presented for solving infinite boundary integro-differential equations (IBI-DE) of the second kind with degenerate kernel in terms of Laguerre polynomials‎. ‎Properties of these polynomials and operational matrix of integration are first presented‎. ‎These properties are then used to transform the integral equation to a matrix equation which corresponds t...

In this article we have considered a non-standard finite difference method for the solution of second order  Fredholm integro differential equation type initial value problems. The non-standard finite difference method and the composite trapezoidal quadrature method is used to transform the Fredholm integro-differential equation into a system of equations. We have also developed a numerical met...

A numerical method based on an integro-differential formulation and approximation by local interpolating functions is proposed for solving a one-dimensional parabolic partial differential equation subject to non-classical conditions. Some specific test problems are solved using the proposed method. Numerical results obtained indicate that it can give accurate solutions and that it is an interes...

In this paper, an effective numerical method is introduced for the treatment of nonlinear two-dimensional Volterra-Fredholm integro-differential equations. Here, we use the so-called two-dimensional block-pulse functions.First, the two-dimensional block-pulse operational matrix of integration and differentiation has been presented. Then, by using this matrices, the nonlinear two-dimensional Vol...

The nonFickian flow of fluid in porous media is complicated by the history effect which characterizes various mixing length growth of the flow, which can be modeled by an integro-differential equation. This paper proposes two mixed finite element methods which are employed to discretize the parabolic integro-differential equation model. An optimal order error estimate is established for one of ...