An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006): Difference between revisions
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Revision as of 13:46, 20 February 2024
scientific article; zbMATH DE number 7405587
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function |
scientific article; zbMATH DE number 7405587 |
Statements
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (English)
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1 October 2021
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partial integro-differential equations
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implicit-explicit midpoint formula
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options pricing
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jump-diffusion model
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finite difference method
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stability
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error estimates
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