Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333): Difference between revisions

@@ Property / author @@
-Leif B. G. Andersen
@@ Property / author: Leif B. G. Andersen / rank @@
-Normal rank
@@ Property / author @@
+Leif B. G. Andersen
@@ Property / author: Leif B. G. Andersen / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220891
@@ Property / zbMATH DE Number: 6220891 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion process
@@ Property / zbMATH Keywords: jump-diffusion process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+local time
@@ Property / zbMATH Keywords: local time / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+forward equation
@@ Property / zbMATH Keywords: forward equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility smile
@@ Property / zbMATH Keywords: volatility smile / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+ADI finite difference method
@@ Property / zbMATH Keywords: ADI finite difference method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fast Fourier transform
@@ Property / zbMATH Keywords: fast Fourier transform / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:375333