Option pricing in jump diffusion models with quadratic spline collocation (Q671091): Difference between revisions
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Revision as of 06:54, 9 December 2024
scientific article
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English | Option pricing in jump diffusion models with quadratic spline collocation |
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Option pricing in jump diffusion models with quadratic spline collocation (English)
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20 March 2019
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quadratic spline
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collocation
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American option
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partial integro-differential equation
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Merton's model
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Kou's model
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calculation of Greeks
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