Fourier space time-stepping for option pricing with Lévy models (Q3622838): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q344298 |
Changed an Item |
||
| Property / author | |||
| Property / author: Kenneth R. Jackson / rank | |||
Normal rank | |||
Revision as of 13:48, 13 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier space time-stepping for option pricing with Lévy models |
scientific article |
Statements
Fourier space time-stepping for option pricing with Lévy models (English)
0 references
28 April 2009
0 references
Lévy model
0 references
partial integro-differential equation
0 references
American option
0 references
Fourier transform method
0 references
regime-switching model
0 references
