Finite volume methods for pricing jump-diffusion option model (Q2987181)
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scientific article; zbMATH DE number 6719588
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| English | Finite volume methods for pricing jump-diffusion option model |
scientific article; zbMATH DE number 6719588 |
Statements
17 May 2017
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finite volume method
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Kou jump-diffusion option model
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linear complementarity problem
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modulus-based successive overrelaxation method
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0.946479558944702
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0.8858797550201416
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0.8520041704177856
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0.8476938009262085
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