Contour integral method for European options with jumps (Q391441)
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scientific article; zbMATH DE number 6244245
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Contour integral method for European options with jumps |
scientific article; zbMATH DE number 6244245 |
Statements
Contour integral method for European options with jumps (English)
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10 January 2014
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Black-Scholes equation
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jump-diffusion models
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contour integral
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Laplace transform
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spectral methods
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domain decomposition method
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Greeks
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0.831659197807312
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0.8289355635643005
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0.8223930597305298
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0.8188732862472534
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0.8059779405593872
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