Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:20, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of an implicit method to evaluate option prices under local volatility with jumps |
scientific article |
Statements
Stability of an implicit method to evaluate option prices under local volatility with jumps (English)
0 references
31 October 2014
0 references
option pricing
0 references
finite difference method
0 references
partial integro-differential equation
0 references
operator splitting method
0 references
linear complementarity problem
0 references
variable coefficient
0 references
jump-diffusion model
0 references
