Option pricing in some non-Lévy jump models (Q5739799)
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scientific article; zbMATH DE number 6604581
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| default for all languages | No label defined |
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| English | Option pricing in some non-Lévy jump models |
scientific article; zbMATH DE number 6604581 |
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Option Pricing in Some Non-Lévy Jump Models (English)
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20 July 2016
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jump processes
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subordinate diffusions
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option pricing
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time change
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finite difference approximation
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matrix eigendecomposition
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0.7966148853302002
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0.7836267948150635
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0.7807573676109314
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0.7787773013114929
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0.7713148593902588
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