Option pricing in jump diffusion models with quadratic spline collocation (Q671091): Difference between revisions

@@ Property / DOI @@
-.1016/j.amc.2015.12.045
@@ Property / DOI: 10.1016/j.amc.2015.12.045 / rank @@
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+https://doi.org/10.1016/j.amc.2015.12.045
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+W2294370856
@@ Property / OpenAlex ID: W2294370856 / rank @@
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@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Robust numerical methods for contingent claims under jump diffusion processes
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+Fourier space time-stepping for option pricing with Lévy models
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+Option pricing when underlying stock returns are discontinuous
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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@@ Property / DOI @@
+.1016/J.AMC.2015.12.045
@@ Property / DOI: 10.1016/J.AMC.2015.12.045 / rank @@
+Normal rank