A spectral element method for option pricing under regime-switching with jumps (Q2189667)
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scientific article; zbMATH DE number 7212387
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A spectral element method for option pricing under regime-switching with jumps |
scientific article; zbMATH DE number 7212387 |
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A spectral element method for option pricing under regime-switching with jumps (English)
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16 June 2020
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spectral element method
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option pricing
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regime-switching
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exponential time integration
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Merton jump-diffusion model
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0.8913593888282776
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0.8648161888122559
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0.8420702815055847
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0.8213446736335754
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0.8170977234840393
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