Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| (3 intermediate revisions by 2 users not shown) | |||
| Property / author | |||
| Property / author: Leif B. G. Andersen / rank | |||
| Property / author | |||
| Property / author: Leif B. G. Andersen / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 00:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing |
scientific article |
Statements
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (English)
0 references
29 October 2013
0 references
jump-diffusion process
0 references
local time
0 references
forward equation
0 references
volatility smile
0 references
ADI finite difference method
0 references
fast Fourier transform
0 references
