DG method for pricing European options under Merton jump-diffusion model. (Q2280454)
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scientific article; zbMATH DE number 7144726
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| English | DG method for pricing European options under Merton jump-diffusion model. |
scientific article; zbMATH DE number 7144726 |
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DG method for pricing European options under Merton jump-diffusion model. (English)
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18 December 2019
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option pricing
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Merton jump-diffusion model
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integro-differential equation
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discontinuous Galerkin method
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semi-implicit discretization
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a priori error estimates
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0.8788847327232361
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0.8746030330657959
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0.8473166227340698
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0.8372518420219421
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