Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333): Difference between revisions
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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 |
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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (English)
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29 October 2013
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jump-diffusion process
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local time
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forward equation
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volatility smile
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ADI finite difference method
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fast Fourier transform
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