Option pricing under a jump-telegraph diffusion model with jumps of random size (Q5031709)
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scientific article; zbMATH DE number 7474736
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| English | Option pricing under a jump-telegraph diffusion model with jumps of random size |
scientific article; zbMATH DE number 7474736 |
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Option pricing under a jump-telegraph diffusion model with jumps of random size (English)
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16 February 2022
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telegraph process
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coupled PIDEs
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two-time level scheme
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0.8395384550094604
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0.8217170834541321
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0.817280650138855
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0.8121218085289001
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0.8101561069488525
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