{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,31]],"date-time":"2022-03-31T00:02:26Z","timestamp":1648684946774},"reference-count":31,"publisher":"Hindawi Limited","license":[{"start":{"date-parts":[[2015,1,1]],"date-time":"2015-01-01T00:00:00Z","timestamp":1420070400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"DOI":"10.13039\/501100000780","name":"European Union","doi-asserted-by":"crossref","award":["304617"],"award-info":[{"award-number":["304617"]}],"id":[{"id":"10.13039\/501100000780","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2015]]},"abstract":"<jats:p>This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.<\/jats:p>","DOI":"10.1155\/2015\/960728","type":"journal-article","created":{"date-parts":[[2015,2,4]],"date-time":"2015-02-04T21:01:44Z","timestamp":1423083704000},"page":"1-10","source":"Crossref","is-referenced-by-count":0,"title":["Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems"],"prefix":"10.1155","volume":"2015","author":[{"given":"M.","family":"Fakharany","sequence":"first","affiliation":[{"name":"Instituto de Matem\u00e1tica Multidisciplinar, Universitat Polit\u00e8cnica de Val\u00e8ncia, Camino de Vera s\/n, 46022 Valencia, Spain"}]},{"given":"R.","family":"Company","sequence":"additional","affiliation":[{"name":"Instituto de Matem\u00e1tica Multidisciplinar, Universitat Polit\u00e8cnica de Val\u00e8ncia, Camino de Vera s\/n, 46022 Valencia, Spain"}]},{"given":"L.","family":"J\u00f3dar","sequence":"additional","affiliation":[{"name":"Instituto de Matem\u00e1tica Multidisciplinar, Universitat Polit\u00e8cnica de Val\u00e8ncia, Camino de Vera s\/n, 46022 Valencia, Spain"}]}],"member":"98","reference":[{"key":"1","year":"1997"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"3","series-title":"Chapman & Hall\/CRC Financial Mathematics Series","year":"2004"},{"key":"4","series-title":"Bocconi & Springer Series","volume":"2","year":"2011"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.8.1086.166"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.52.1197"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1991.tb00018.x"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1086\/338705"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.1137\/080718061"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1016\/j.apnum.2004.08.037"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1137\/050637613"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1023\/a:1011354913068"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1155\/2012\/120358"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1155\/2013\/517480"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1137\/s0036142903436186"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1137\/060674697"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.1016\/j.apnum.2011.02.002"},{"key":"19","doi-asserted-by":"crossref","first-page":"31","DOI":"10.21314\/JCF.2007.169","volume":"10","year":"2007","journal-title":"Journal of Computational Finance"},{"key":"20","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2012.07.028"},{"key":"23","doi-asserted-by":"publisher","DOI":"10.1016\/s0168-9274(03)00101-6"},{"key":"24","doi-asserted-by":"publisher","DOI":"10.1016\/j.mcm.2011.05.005"},{"key":"30","year":"1980"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.1051\/m2an:2004003"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.1137\/s0036142999355921"},{"key":"29","doi-asserted-by":"publisher","DOI":"10.2307\/2007964"},{"key":"32","doi-asserted-by":"publisher","DOI":"10.1002\/9781118032572"},{"key":"25","year":"1984"},{"key":"26","doi-asserted-by":"publisher","DOI":"10.1137\/1.9781611970852"},{"key":"31","year":"1985"},{"key":"27","doi-asserted-by":"publisher","DOI":"10.1023\/a:1009703431535"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/960728.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/960728.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2015\/960728.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,5,14]],"date-time":"2020-05-14T22:49:43Z","timestamp":1589496583000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.hindawi.com\/journals\/jam\/2015\/960728\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015]]},"references-count":31,"alternative-id":["960728","960728"],"URL":"https:\/\/doi.org\/10.1155\/2015\/960728","relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"value":"1110-757X","type":"print"},{"value":"1687-0042","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015]]}}}