Pricing options under jump diffusion processes with fitted finite volume method (Q945264)
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scientific article; zbMATH DE number 5342832
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| English | Pricing options under jump diffusion processes with fitted finite volume method |
scientific article; zbMATH DE number 5342832 |
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Pricing options under jump diffusion processes with fitted finite volume method (English)
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12 September 2008
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jump diffusion processes
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finite volume method
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partial integro-differential equation
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penalty method
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FFT
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0.9173104763031006
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0.8994728922843933
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0.8858797550201416
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