Numerical computation of Theta in a jump-diffusion model by integration by parts
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Publication:3182748
DOI10.1080/14697680902814191zbMath1175.91176MaRDI QIDQ3182748
Delphine David, Nicolas Privault
Publication date: 16 October 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00070196/file/RR-5829.pdf
financial mathematics; computational finance; applied mathematical finance; European financial markets
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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