Lower bound approximation of nonlinear basket option with jump-diffusion (Q5855718)
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scientific article; zbMATH DE number 7326406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lower bound approximation of nonlinear basket option with jump-diffusion |
scientific article; zbMATH DE number 7326406 |
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19 March 2021
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basket option
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nonlinear stochastic differential equations
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Poisson process
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split step backward Euler method
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Lower bound approximation of nonlinear basket option with jump-diffusion (English)
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