A second-order tridiagonal method for American options under jump-diffusion models (Q3103546)
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scientific article; zbMATH DE number 5987088
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| English | A second-order tridiagonal method for American options under jump-diffusion models |
scientific article; zbMATH DE number 5987088 |
Statements
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (English)
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7 December 2011
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American option pricing
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partial integro-differential equation
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finite difference method
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linear complementarity problem
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operator splitting method
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0.8476383090019226
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0.841607928276062
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0.8248535990715027
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0.8243322968482971
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0.8238199353218079
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