Construction of positivity preserving numerical method for jump-diffusion option pricing models (Q2400313)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of positivity preserving numerical method for jump-diffusion option pricing models |
scientific article |
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Construction of positivity preserving numerical method for jump-diffusion option pricing models (English)
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28 August 2017
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stochastic diferential equations
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jump-diffusions
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option pricing
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numerical solution
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balanced implicit method
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positivity preservation
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