Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M06
@@ Property / Mathematics Subject Classification ID: 65M06 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M12
@@ Property / Mathematics Subject Classification ID: 65M12 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6362817
@@ Property / zbMATH DE Number: 6362817 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite difference method
@@ Property / zbMATH Keywords: finite difference method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+partial integro-differential equation
@@ Property / zbMATH Keywords: partial integro-differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+operator splitting method
@@ Property / zbMATH Keywords: operator splitting method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear complementarity problem
@@ Property / zbMATH Keywords: linear complementarity problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variable coefficient
@@ Property / zbMATH Keywords: variable coefficient / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion model
@@ Property / zbMATH Keywords: jump-diffusion model / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.apnum.2014.06.012
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@@ Property / OpenAlex ID @@
+W1991212624
@@ Property / OpenAlex ID: W1991212624 / rank @@
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@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:465116