Jump without tears: a new splitting technology for barrier options (Q4913890)
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scientific article; zbMATH DE number 6154746
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| English | Jump without tears: a new splitting technology for barrier options |
scientific article; zbMATH DE number 6154746 |
Statements
17 April 2013
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barrier options
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pricing
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stochastic skew
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jump-diffusion
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finite-difference scheme
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numerical method
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Green function
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general stable tempered process
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0.7578074932098389
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0.742965042591095
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0.7413106560707092
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0.7378353476524353
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0.7360222339630127
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