Numerical valuation of European and American options under Merton's model (Q6099987)
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scientific article; zbMATH DE number 7699821
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| English | Numerical valuation of European and American options under Merton's model |
scientific article; zbMATH DE number 7699821 |
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Numerical valuation of European and American options under Merton's model (English)
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21 June 2023
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Merton's jump-diffusion model
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European options
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American options
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compact difference scheme
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discontinuous Galerkin finite element
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0.8395521640777588
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0.835898756980896
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0.8321723341941833
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0.8282203078269958
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0.8255146145820618
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