A spectral element framework for option pricing under general exponential Lévy processes (Q395363)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A spectral element framework for option pricing under general exponential Lévy processes |
scientific article |
Statements
A spectral element framework for option pricing under general exponential Lévy processes (English)
0 references
29 January 2014
0 references
Lévy processes
0 references
spectral element methods
0 references
partial-integro differential equation
0 references
variance gamma
0 references
option pricing
0 references
0 references
0 references
