Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364)
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scientific article; zbMATH DE number 6643110
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| English | Comparison of numerical methods on pricing equations with non-Lévy jumps |
scientific article; zbMATH DE number 6643110 |
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Comparison of numerical methods on pricing equations with non-Lévy jumps (English)
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25 October 2016
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option pricing
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hedging problem
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jump process
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partial integro-differential equation
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Crank-Nicolson
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predictor-corrector
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0.8740925192832947
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0.8322455286979675
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0.8278917074203491
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0.8190083503723145
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