Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M12 / rank | |||
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| Property / zbMATH DE Number: 6362817 / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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finite difference method | |||
| Property / zbMATH Keywords: finite difference method / rank | |||
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partial integro-differential equation | |||
| Property / zbMATH Keywords: partial integro-differential equation / rank | |||
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operator splitting method | |||
| Property / zbMATH Keywords: operator splitting method / rank | |||
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linear complementarity problem | |||
| Property / zbMATH Keywords: linear complementarity problem / rank | |||
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variable coefficient | |||
| Property / zbMATH Keywords: variable coefficient / rank | |||
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jump-diffusion model | |||
| Property / zbMATH Keywords: jump-diffusion model / rank | |||
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Revision as of 14:47, 30 June 2023
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)
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31 October 2014
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option pricing
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finite difference method
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partial integro-differential equation
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operator splitting method
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linear complementarity problem
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variable coefficient
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jump-diffusion model
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