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