Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397)
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scientific article; zbMATH DE number 6124508
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| English | Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models |
scientific article; zbMATH DE number 6124508 |
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (English)
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11 January 2013
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pseudo-parabolic equations
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jump-diffusion
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finite-difference scheme
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numerical method
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Green function
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general stable tempered process
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0.7835408449172974
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0.7830032706260681
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0.780607283115387
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0.7792442440986633
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0.7786788940429688
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