A combined compact difference scheme for option pricing in the exponential jump-diffusion models (Q2142005)
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scientific article; zbMATH DE number 7532468
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| English | A combined compact difference scheme for option pricing in the exponential jump-diffusion models |
scientific article; zbMATH DE number 7532468 |
Statements
A combined compact difference scheme for option pricing in the exponential jump-diffusion models (English)
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25 May 2022
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Black-Scholes equation
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combined compact difference
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jump-diffusion model
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option pricing
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0.9455125
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0.93109655
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0.9256108
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0.9174342
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0.9165079
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0.9139643
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0.91391635
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0.91387576
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