Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets. (Q6651848)
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scientific article; zbMATH DE number 7956935
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| English | Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets. |
scientific article; zbMATH DE number 7956935 |
Statements
Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets. (English)
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11 December 2024
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wavelet-Galerkin method
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Crank-Nicolson scheme
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orthogonal spline wavelets
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0.909130334854126
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0.8097777962684631
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0.8021063208580017
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0.8001015186309814
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