An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps (Q5003927)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps |
scientific article; zbMATH DE number 7376641
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps |
scientific article; zbMATH DE number 7376641 |
Statements
An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps (English)
0 references
30 July 2021
0 references
barrier option
0 references
jump-diffusion
0 references
option pricing
0 references
partial integro-differential equation
0 references
Richardson extrapolation
0 references
