Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes |
scientific article |
Statements
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (English)
0 references
21 December 2015
0 references
numerical analysis
0 references
partial integro-differential equation
0 references
option pricing
0 references
Gauss-Laguerre quadrature
0 references
positivity
0 references
0 references
0 references
0 references
0 references
0 references
0 references