ADI method of credit spread option pricing based on jump-diffusion model (Q3390750)
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scientific article; zbMATH DE number 7498478
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| English | ADI method of credit spread option pricing based on jump-diffusion model |
scientific article; zbMATH DE number 7498478 |
Statements
25 March 2022
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interest rate
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option pricing
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jump-diffusion models
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alternating direction implicit
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convergence
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ADI method of credit spread option pricing based on jump-diffusion model (English)
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0.762500524520874
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0.755561113357544
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0.7518269419670105
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0.7462894320487976
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