AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL (Q4995207)
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scientific article; zbMATH DE number 7362581
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL |
scientific article; zbMATH DE number 7362581 |
Statements
23 June 2021
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jump-diffusion
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Simpson's rule
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non-uniform grid
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implicit finite difference method
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derivative securities
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AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL (English)
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