NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (Q5411742)
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scientific article; zbMATH DE number 6288160
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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