A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems (Q2666189)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems |
scientific article |
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A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems (English)
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22 November 2021
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American option pricing
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front-fixing method
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exponential time differencing
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finite difference methods
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experimental numerical analysis
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Gauss quadrature
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