Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465): Difference between revisions
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Revision as of 02:00, 22 March 2024
scientific article; zbMATH DE number 7553404
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model |
scientific article; zbMATH DE number 7553404 |
Statements
Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (English)
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5 July 2022
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viscosity solutions
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Lévy process
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regime-switching model
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partial integro-differential equations
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finite differences method
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comparison principle
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