Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085)
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scientific article; zbMATH DE number 5362090
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| English | Methods for the rapid solution of the pricing PIDEs in exponential and Merton models |
scientific article; zbMATH DE number 5362090 |
Statements
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (English)
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6 November 2008
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jump-diffusion process
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option pricing
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differential equations
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0.8655306696891785
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0.8378684520721436
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0.8375571370124817
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0.8358713984489441
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0.8345664143562317
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