A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (Q5470894)
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scientific article; zbMATH DE number 5029749
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| English | A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models |
scientific article; zbMATH DE number 5029749 |
Statements
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (English)
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2 June 2006
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parabolic integro-differential equations
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finite difference methods
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Lévy process
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jump-diffusion models
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option pricing
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viscosity solutions
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0.8693887591362
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0.8561785221099854
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0.8517604470252991
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0.8404837846755981
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