Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (Q5417790): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q283283 |
Changed an Item |
||
| Property / author | |||
| Property / author: Hai-Wei Sun / rank | |||
Normal rank | |||
Revision as of 15:00, 12 February 2024
scientific article; zbMATH DE number 6297866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models |
scientific article; zbMATH DE number 6297866 |
Statements
Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (English)
0 references
22 May 2014
0 references
stochastic volatility jump diffusion
0 references
European option
0 references
barrier option
0 references
partial integro-differential equation
0 references
matrix exponential
0 references
shift-invert Arnoldi
0 references
matrix splitting
0 references
multigrid method
0 references
