Numerical valuation of options with jumps in the underlying (Q1775609)
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scientific article; zbMATH DE number 2164847
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| default for all languages | No label defined |
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| English | Numerical valuation of options with jumps in the underlying |
scientific article; zbMATH DE number 2164847 |
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Numerical valuation of options with jumps in the underlying (English)
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4 May 2005
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Option pricing
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Jump-diffusion processes
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Finite differences
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Finite elements
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Fast Fourier transform
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Integro-differential equations
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0.9008662104606628
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0.8939223885536194
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0.8673198223114014
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0.8663813471794128
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