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
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| English | An efficient and robust numerical method for option prices in a two-asset jump-diffusion model |
scientific article; zbMATH DE number 7362581 |
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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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0.8668197393417358
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0.8535675406455994
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0.8403619527816772
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0.8386411666870117
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