Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations (Q3580034)
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scientific article; zbMATH DE number 5769047
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| English | Option pricing in Hilbert space-valued jump-diffusion models using partial integro-differential equations |
scientific article; zbMATH DE number 5769047 |
Statements
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations (English)
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11 August 2010
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Hilbert space-valued jump-diffusion models
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partial integro-differential equations
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European options
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numerical pricing
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dimension reduction method
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Galerkin time stepping method
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0.8292934894561768
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0.7900055050849915
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0.7890207767486572
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0.7875564694404602
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0.7859352231025696
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