A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654)
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scientific article; zbMATH DE number 6395514
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| English | A finite difference method for pricing European and American options under a geometric Lévy process |
scientific article; zbMATH DE number 6395514 |
Statements
A finite difference method for pricing European and American options under a geometric Lévy process (English)
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3 February 2015
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fractional Black-Scholes equation
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option pricing
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convergence
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penalty method
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finite difference method
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linear complementarity problem
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0.8228909969329834
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0.8227531313896179
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0.8175019025802612
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