Construction of positivity preserving numerical method for jump-diffusion option pricing models (Q2400313): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:00, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of positivity preserving numerical method for jump-diffusion option pricing models |
scientific article |
Statements
Construction of positivity preserving numerical method for jump-diffusion option pricing models (English)
0 references
28 August 2017
0 references
stochastic diferential equations
0 references
jump-diffusions
0 references
option pricing
0 references
numerical solution
0 references
balanced implicit method
0 references
positivity preservation
0 references
