A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421): Difference between revisions
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Revision as of 22:23, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models |
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Statements
A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (English)
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11 January 2013
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spectral element
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spectral-Galerkin
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unbounded domain
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Laguerre functions
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option pricing
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Black-Scholes
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Merton jump diffusion
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