2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models (Q4562628)
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scientific article; zbMATH DE number 6994424
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models |
scientific article; zbMATH DE number 6994424 |
Statements
2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models (English)
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17 December 2018
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finite difference method
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jump-diffusion
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two-asset option pricing
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partial integro-differential equation
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