A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463)
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scientific article; zbMATH DE number 5837416
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| English | A spectral element method to price European options. I. Single asset with and without jump diffusion |
scientific article; zbMATH DE number 5837416 |
Statements
A spectral element method to price European options. I. Single asset with and without jump diffusion (English)
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16 January 2011
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spectral element method
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Black-Scholes equation
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jump diffusion
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0.8913593888282776
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0.8750569224357605
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0.8693622946739197
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0.8653477430343628
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0.8490761518478394
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