Evaluation finite moment log-stable option pricing by a spectral method (Q5382407)
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scientific article; zbMATH DE number 7071975
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| English | Evaluation finite moment log-stable option pricing by a spectral method |
scientific article; zbMATH DE number 7071975 |
Statements
Evaluation Finite Moment Log-Stable Option Pricing by a Spectral Method (English)
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21 June 2019
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fractional partial differential equation
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Lévy-stable processes
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Gauss-Jacobi spectral method
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European- and American-styled options
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0.8223874568939209
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0.8049529194831848
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0.8033290505409241
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0.8029866218566895
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