FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701): Difference between revisions
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Latest revision as of 11:07, 23 September 2024
scientific article; zbMATH DE number 6897612
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS |
scientific article; zbMATH DE number 6897612 |
Statements
FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (English)
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29 June 2018
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compact schemes
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option pricing
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Lévy process
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European options
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jump-diffusion models
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partial integro-differential equations
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Toeplitz matrices
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