Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (Q5372098): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.4208/eajam.260316.061016a / rank | |||
| Property / DOI | |||
| Property / DOI: 10.4208/EAJAM.260316.061016A / rank | |||
Normal rank | |||
Latest revision as of 16:48, 30 December 2024
scientific article; zbMATH DE number 6797118
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models |
scientific article; zbMATH DE number 6797118 |
Statements
Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (English)
0 references
24 October 2017
0 references
finite volume method
0 references
option pricing
0 references
jump-diffusion models
0 references
linear complementarity problems
0 references
GMRES method
0 references
modulus-based successive overrelaxation method
0 references
0 references
0 references
