THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (Q3637887): Difference between revisions
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Revision as of 14:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES |
scientific article |
Statements
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (English)
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14 July 2009
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American options
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stochastic volatility
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jump-diffusion processes
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Volterra integral equations
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free boundary problem
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method of lines
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