Numerical solution of two asset jump diffusion models for option valuation (Q928833)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Numerical solution of two asset jump diffusion models for option valuation |
scientific article; zbMATH DE number 5287832
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Numerical solution of two asset jump diffusion models for option valuation |
scientific article; zbMATH DE number 5287832 |
Statements
Numerical solution of two asset jump diffusion models for option valuation (English)
0 references
11 June 2008
0 references
two-asset
0 references
option pricing
0 references
partial integro-differential equation
0 references
finite difference
0 references
American option
0 references
jump diffusion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9008662104606628
0 references
0.8535675406455994
0 references
0.8527688384056091
0 references
0.8412090539932251
0 references
0.8375571370124817
0 references
