Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (Q5372098)
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scientific article; zbMATH DE number 6797118
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models |
scientific article; zbMATH DE number 6797118 |
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Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (English)
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24 October 2017
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finite volume method
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option pricing
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jump-diffusion models
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linear complementarity problems
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GMRES method
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modulus-based successive overrelaxation method
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