NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (Q5411742)

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scientific article; zbMATH DE number 6288160
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NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
scientific article; zbMATH DE number 6288160

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    NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (English)
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    25 April 2014
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    numerical algorithms
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    system of partial integro-differential equations
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    regime-switching jump diffusion
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    option pricing
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    implicit and explicit finite element methods
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