Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations (Q3580034)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
scientific article

    Statements

    Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations (English)
    0 references
    0 references
    11 August 2010
    0 references
    Hilbert space-valued jump-diffusion models
    0 references
    partial integro-differential equations
    0 references
    European options
    0 references
    numerical pricing
    0 references
    dimension reduction method
    0 references
    Galerkin time stepping method
    0 references

    Identifiers