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scientific article
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scientific article

    Statements

    author
    Ali Hirsa
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    publication date
    2 December 2011
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    zbMATH Keywords
    computational finance
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    option pricing
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    characteristic functions
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    PDEs
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    finite differences
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    PIDEs
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    Monte Carlo
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    model calibration
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    filtering
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91-01
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    91-04
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    91G80
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    91G20
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    91G70
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    65N06
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    97M30
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    zbMATH DE Number
    5985502
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