Option pricing in jump diffusion models with quadratic spline collocation (Q671091)
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scientific article; zbMATH DE number 7039625
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing in jump diffusion models with quadratic spline collocation |
scientific article; zbMATH DE number 7039625 |
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Option pricing in jump diffusion models with quadratic spline collocation (English)
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20 March 2019
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quadratic spline
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collocation
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American option
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partial integro-differential equation
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Merton's model
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Kou's model
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calculation of Greeks
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0.8551647663116455
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0.8349061608314514
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0.8318845629692078
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0.8303741216659546
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0.8280825614929199
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