@article{(Open Science Index):https://publications.waset.org/pdf/10011560,
	  title     = {Pricing European Options under Jump Diffusion Models with Fast L-stable Padé Scheme},
	  author    = {Salah Alrabeei and  Mohammad Yousuf},
	  country	= {},
	  institution	= {},
	  abstract     = {The goal of option pricing theory is to help the
investors to manage their money, enhance returns and control their
financial future by theoretically valuing their options. Modeling
option pricing by Black-School models with jumps guarantees to
consider the market movement. However, only numerical methods
can solve this model. Furthermore, not all the numerical methods
are efficient to solve these models because they have nonsmoothing
payoffs or discontinuous derivatives at the exercise price. In this
paper, the exponential time differencing (ETD) method is applied
for solving partial integrodifferential equations arising in pricing
European options under Merton’s and Kou’s jump-diffusion models.
Fast Fourier Transform (FFT) algorithm is used as a matrix-vector
multiplication solver, which reduces the complexity from O(M2)
into O(M logM). A partial fraction form of Pad`e schemes is used
to overcome the complexity of inverting polynomial of matrices.
These two tools guarantee to get efficient and accurate numerical
solutions. We construct a parallel and easy to implement a version
of the numerical scheme. Numerical experiments are given to show
how fast and accurate is our scheme.},
	    journal   = {International Journal of Mathematical and Computational Sciences},
	  volume    = {14},
	  number    = {11},
	  year      = {2020},
	  pages     = {111 - 115},
	  ee        = {https://publications.waset.org/pdf/10011560},
	  url   	= {https://publications.waset.org/vol/167},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 167, 2020},
	}