A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (Q5470894): Difference between revisions
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Revision as of 21:33, 5 March 2024
scientific article; zbMATH DE number 5029749
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models |
scientific article; zbMATH DE number 5029749 |
Statements
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (English)
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2 June 2006
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parabolic integro-differential equations
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finite difference methods
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Lévy process
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jump-diffusion models
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option pricing
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viscosity solutions
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