A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654): Difference between revisions
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Revision as of 06:29, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A finite difference method for pricing European and American options under a geometric Lévy process |
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A finite difference method for pricing European and American options under a geometric Lévy process (English)
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3 February 2015
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fractional Black-Scholes equation
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option pricing
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convergence
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penalty method
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finite difference method
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linear complementarity problem
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