Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333)
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scientific article; zbMATH DE number 6220891
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| English | Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing |
scientific article; zbMATH DE number 6220891 |
Statements
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (English)
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29 October 2013
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jump-diffusion process
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local time
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forward equation
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volatility smile
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ADI finite difference method
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fast Fourier transform
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