Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation (Q6129393): Difference between revisions
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Revision as of 06:28, 10 July 2024
scientific article; zbMATH DE number 7833476
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation |
scientific article; zbMATH DE number 7833476 |
Statements
Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation (English)
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17 April 2024
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partial integro-differential equation
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Merton's and Kou's models
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European and American option pricing
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implicit-explicit numerical methods
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linear complementarity problem
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stability analysis
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