Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options (Q5283665)
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scientific article; zbMATH DE number 6751560
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| English | Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options |
scientific article; zbMATH DE number 6751560 |
Statements
24 July 2017
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financial options
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fractional diffusion model
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KoBol process
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Crank-Nicolson scheme
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successive overrelaxation
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0.8228909969329834
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0.820267915725708
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0.8014297485351562
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0.7895917296409607
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