Numerical solution of systems of partial integral differential equations with application to pricing options (Q4623366)
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scientific article; zbMATH DE number 7023946
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| English | Numerical solution of systems of partial integral differential equations with application to pricing options |
scientific article; zbMATH DE number 7023946 |
Statements
Numerical solution of systems of partial integral differential equations with application to pricing options (English)
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15 February 2019
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American options
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exponential time differencing
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jump diffusion
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nonsmooth initial data
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partial integral differential equations
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regime switching
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strongly stable
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0.92965305
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0.9238678
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0.9227297
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0.9215646
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0.9112895
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0.9094689
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0.9082277
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