Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (Q5320693)
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scientific article; zbMATH DE number 5582050
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model |
scientific article; zbMATH DE number 5582050 |
Statements
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (English)
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22 July 2009
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option pricing
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linear complementary
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finite difference
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penalty method
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operator splitting
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0.8939223885536194
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0.879945695400238
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0.8476938009262085
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0.8465434312820435
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0.8447803854942322
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