Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116)
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scientific article; zbMATH DE number 6362817
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stability of an implicit method to evaluate option prices under local volatility with jumps |
scientific article; zbMATH DE number 6362817 |
Statements
Stability of an implicit method to evaluate option prices under local volatility with jumps (English)
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31 October 2014
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option pricing
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finite difference method
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partial integro-differential equation
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operator splitting method
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linear complementarity problem
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variable coefficient
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jump-diffusion model
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0.9008188
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0.8979525
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0.8935922
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0.8918618
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0.8885077
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0.88367623
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0.88137555
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0.8802493
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0.8798354
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