Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model (Q2875711)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model |
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Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model (English)
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11 August 2014
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partial integro-differential equation
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jump-diffusion processes
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European options
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implicit-explicit predictor-corrector methods
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rational spectral methods
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Clenshaw-Curtis quadrature
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