IMEX schemes for pricing options under jump-diffusion models (Q2250990)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6316026
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | IMEX schemes for pricing options under jump-diffusion models |
scientific article; zbMATH DE number 6316026 |
Statements
IMEX schemes for pricing options under jump-diffusion models (English)
0 references
10 July 2014
0 references
implicit-explicit methods
0 references
linear multistep methods
0 references
jump-diffusion model
0 references
option pricing
0 references
stability
0 references
0 references
0 references
0 references
0.8671629428863525
0 references
0.8566715121269226
0 references
0.8489430546760559
0 references
0.8479534387588501
0 references
0.8412691354751587
0 references
