Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (Q5417790): Difference between revisions
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Revision as of 13:10, 29 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)
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22 May 2014
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stochastic volatility jump diffusion
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European option
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barrier option
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partial integro-differential equation
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matrix exponential
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shift-invert Arnoldi
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matrix splitting
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multigrid method
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